Aplica\c{c}\~ao do Movimento Browniano Geom\'etrico para Simula\c{c}\~ao de Pre\c{c}os de A\c{c}\~oes do \'Indice Brasileiro de Small Caps
Marcos Vin\'icius dos Santos Ara\'ujo
Authors registered in the RePEc Author Service: Marcos Vinícius dos Santos Araújo
Papers from arXiv.org
Abstract:
This work addressed the use of the geometric Brownian motion to simulate the prices of shares listed in the Small Caps index of the Brazilian stock exchange B3 (Brazil, Bolsa, Balc\~ao). The data used refer to the price history from January 2016 to December 2018. The price history of 2019 was used to be compared with the simulated prices. The data was imported from the Yahoo Finance database using the Python programming language, and the simulations were performed for each stock individually, and for portfolios formed based on expected returns, risk and the Sharpe Index. The results were better for portfolios with higher returns, lower risks and higher Sharpe Indexes.
Date: 2020-11
New Economics Papers: this item is included in nep-cmp
References: Add references at CitEc
Citations:
Downloads: (external link)
http://arxiv.org/pdf/2011.08128 Latest version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2011.08128
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().