M. E. Adeosun, S. O. Edeki, O. O. Ugbebor, "Stochastic Analysis of Stock Market Price Models: A Case Study of the Nigerian Stock Exchange (NSE)," WSEAS Transactions on Mathematics, vol. 14, pp. 353-363, 2015, DOI:
M. E. Adeosun, S. O. Edeki, O. O. Ugbebor. Stochastic Analysis of Stock Market Price Models: A Case Study of the Nigerian Stock Exchange (NSE).
WSEAS Transactions on Mathematics. 2015;14:353-363.
WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 14, 2015
Stochastic Analysis of Stock Market Price Models: A Case Study of the Nigerian Stock Exchange (NSE)
Authors: , ,
Abstract: In this paper, stochastic analysis of the behaviour of stock prices is considered using a proposed log-normal distribution model. To test this model, stock prices for a period of 19 years were taken from the Nigerian Stock Exchange (NSE) for simulation, and the results reveal that the proposed model is efficient for the prediction of stock prices. Better accuracy of results via this model can be improved upon when the drift and the volatility parameters are structured as stochastic functions of time instead of constants parameters.
Keywords:
Stochastic model, lognormal distribution, random walk, option pricing, stock exchange market
Pages: 353-363 WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 14, 2015, Art. #34 DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
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