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Monte Carlo Method and Brownian Movement Applied to Future Stock Market Analysis

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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Year of Publication: 2020
Authors:
Fabio Lopes Licht
10.5120/ijca2020920898

Fabio Lopes Licht. Monte Carlo Method and Brownian Movement Applied to Future Stock Market Analysis. International Journal of Computer Applications 175(34):1-6, December 2020. BibTeX

@article{10.5120/ijca2020920898,
	author = {Fabio Lopes Licht},
	title = {Monte Carlo Method and Brownian Movement Applied to Future Stock Market Analysis},
	journal = {International Journal of Computer Applications},
	issue_date = {December 2020},
	volume = {175},
	number = {34},
	month = {Dec},
	year = {2020},
	issn = {0975-8887},
	pages = {1-6},
	numpages = {6},
	url = {http://www.ijcaonline.org/archives/volume175/number34/31666-2020920898},
	doi = {10.5120/ijca2020920898},
	publisher = {Foundation of Computer Science (FCS), NY, USA},
	address = {New York, USA}
}

Abstract

This paper presents a method of forecasting the return on investment on the stock exchange based on the historical analysis of the stock and the generation of massive random data. The model is based on the use of the Monte Carlo method and on the Simulation of the Brownian Movement with a massive generation of data to generate forecasts of growth or decrease in the value of the stock over a given time. As a model test, stock market indices in Brazil and historical stock data were used.

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Keywords

Monte Carlo Method, Market Activity, Brownian Motion