Stochastic Analysis on Share Price Movements with Time-delay in Finite State

Inikio J.I., Amadi I. U, Chims B and Obinichi C.M.
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Inikio J.I.: Department of Mathematics & Statistics, Ignatius Ajuru University of Education, Rumuolumeni, Port Harcourt, Nigeria.
Amadi I. U: Department of Mathematics, Statistics, Captain Elechi Amadi Polytechnic, Rumuola, Port Harcourt, Nigeria.
Chims B: Ken Sarowiwa Polytechnic, Bori, Nigeria.
Obinichi C.M.: Department Mathematics and Statistics, Captain Elechi Amadi Polytechnic Rumuola Portharcourt Nigeria.

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Abstract: Share prices changes over time and can be viewed as a stochastic process. In this paper, stochastic analysis of Markov chain in the closing share price data of Access and Fidelity (2016-2022) is considered. The share prices were transformed into 3-steps transition probability matrix solution to cover this number of years. From the solution matrix of stochastic analysis showed that Access bank, PLC has the best probability of price increasing in the near future: 12%, best probability of reducing in future by 21% and best probability of no-change in the near future by 20% which is a tool for proper decision making in the day-to-day management of the bank. More so, Fidelity bank, PLC has the best probability of price increasing in the near future: 10%, best probability of reducing in future by 23% and best probability of no-change in the near future by 22% which is also a tool for proper decision making in the day-to-day management of the bank. Finally from the two banks merged; has the best probability of price increasing in the near future: 12%, best probability of reducing in future by 67% and best probability of no-change in the near future by 21%, the study introduced the concept of time dependent delay parameter in the share price movements in finite state which shows lots of increase in the share price of each banks. The future share price percentage changes were known; which is a tool for proper decision making in the day-to-day management of the banks, hence the two banks are profit making organization and are hopeful for future investment plans both short or long term respectively.

Date: 2025-05-21
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Published in Asian Basic and Applied Research Journal, 2025, 7 (1), pp.350-357. ⟨10.56557/abaarj/2025/v7i1179⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05082920

DOI: 10.56557/abaarj/2025/v7i1179

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