Comparing South African financial markets behaviour to the geometric Brownian Motion Process

Comparing South African financial markets behaviour to the geometric Brownian Motion Process

Magister Scientiae - MSc === This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more s...

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Bibliographic Details
Main Author: Karangwa, Innocent
Other Authors: Visser, Chris
Language:en
Published: University of the Western Cape 2014
Subjects:
Return
Geometric Brownian motion
Fractional Brownian Motion
Hurst exponent
South African financial markets
Stationary time series
Normality of data
Autocorrelation
Volatility
Kolmogorov-Simirinov statistic
Box-Ljung statistic
Dickey-Fuller test
Online Access:http://hdl.handle.net/11394/3055

Internet

http://hdl.handle.net/11394/3055

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