This paper is concerned with modeling the occurrences of stock price uncertainty of Dhaka Stock Exchange. Daily closing prices of three different banks are selected for analysis. This report focuses on the overall condition of the stock market to find out the amount of probability of uncertainty of occurrences by analytically chosen model to the financial data of Banking Sector (leading three Banks of Bangladesh: AB Bank, City Bank and National Bank). Various popular variability-forecasting models with techniques of measuring and evaluating performance of forecasting were reviewed. In this research, a trinomial probability distribution model is fitted considering the outcome (closing price) of a stock (per day) such as low, unchanged and high for the quoted three banks. Maximum likelihood estimations are derived for estimating the parameters of the model. To check the model acceptability chi-square goodness-of-fit test is conducted. It is found that the probability of occurrences of unchanged price for AB bank is low (0.014). On the other hand the probability of occurrence of high and low price are high (0.478 and 0.508) and these probabilities are almost same for the other banks (City and National bank).
| Published in | Science Journal of Applied Mathematics and Statistics (Volume 5, Issue 1) |
| DOI | 10.11648/j.sjams.20170501.14 |
| Page(s) | 24-30 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2017. Published by Science Publishing Group |
Trinomial Probability Model, Dhaka Stock Exchange, Time Series Analysis, Stock Price and Stock Market
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APA Style
Md. Zahirul Islam, Shakil Ahmad. (2017). A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange. Science Journal of Applied Mathematics and Statistics, 5(1), 24-30. https://doi.org/10.11648/j.sjams.20170501.14
ACS Style
Md. Zahirul Islam; Shakil Ahmad. A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange. Sci. J. Appl. Math. Stat. 2017, 5(1), 24-30. doi: 10.11648/j.sjams.20170501.14
AMA Style
Md. Zahirul Islam, Shakil Ahmad. A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange. Sci J Appl Math Stat. 2017;5(1):24-30. doi: 10.11648/j.sjams.20170501.14
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Download@article{10.11648/j.sjams.20170501.14,
author = {Md. Zahirul Islam and Shakil Ahmad},
title = {A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange},
journal = {Science Journal of Applied Mathematics and Statistics},
volume = {5},
number = {1},
pages = {24-30},
doi = {10.11648/j.sjams.20170501.14},
url = {https://doi.org/10.11648/j.sjams.20170501.14},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.sjams.20170501.14},
abstract = {This paper is concerned with modeling the occurrences of stock price uncertainty of Dhaka Stock Exchange. Daily closing prices of three different banks are selected for analysis. This report focuses on the overall condition of the stock market to find out the amount of probability of uncertainty of occurrences by analytically chosen model to the financial data of Banking Sector (leading three Banks of Bangladesh: AB Bank, City Bank and National Bank). Various popular variability-forecasting models with techniques of measuring and evaluating performance of forecasting were reviewed. In this research, a trinomial probability distribution model is fitted considering the outcome (closing price) of a stock (per day) such as low, unchanged and high for the quoted three banks. Maximum likelihood estimations are derived for estimating the parameters of the model. To check the model acceptability chi-square goodness-of-fit test is conducted. It is found that the probability of occurrences of unchanged price for AB bank is low (0.014). On the other hand the probability of occurrence of high and low price are high (0.478 and 0.508) and these probabilities are almost same for the other banks (City and National bank).},
year = {2017}
}
TY - JOUR T1 - A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange AU - Md. Zahirul Islam AU - Shakil Ahmad Y1 - 2017/01/18 PY - 2017 N1 - https://doi.org/10.11648/j.sjams.20170501.14 DO - 10.11648/j.sjams.20170501.14 T2 - Science Journal of Applied Mathematics and Statistics JF - Science Journal of Applied Mathematics and Statistics JO - Science Journal of Applied Mathematics and Statistics SP - 24 EP - 30 PB - Science Publishing Group SN - 2376-9513 UR - https://doi.org/10.11648/j.sjams.20170501.14 AB - This paper is concerned with modeling the occurrences of stock price uncertainty of Dhaka Stock Exchange. Daily closing prices of three different banks are selected for analysis. This report focuses on the overall condition of the stock market to find out the amount of probability of uncertainty of occurrences by analytically chosen model to the financial data of Banking Sector (leading three Banks of Bangladesh: AB Bank, City Bank and National Bank). Various popular variability-forecasting models with techniques of measuring and evaluating performance of forecasting were reviewed. In this research, a trinomial probability distribution model is fitted considering the outcome (closing price) of a stock (per day) such as low, unchanged and high for the quoted three banks. Maximum likelihood estimations are derived for estimating the parameters of the model. To check the model acceptability chi-square goodness-of-fit test is conducted. It is found that the probability of occurrences of unchanged price for AB bank is low (0.014). On the other hand the probability of occurrence of high and low price are high (0.478 and 0.508) and these probabilities are almost same for the other banks (City and National bank). VL - 5 IS - 1 ER -
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