| 摘要 |
<p><P>PROBLEM TO BE SOLVED: To show a guide in stock investment by automatically estimating the variation characteristics of a stock price only by inputting a small amount of stock price data, and accurately analyzing the variation of the stock price. <P>SOLUTION: Stock price variation is captured as an advection spread type phenomenon, and a stock price model based on a geometrical Brown motion is defined as a basic equation so that a Fokker-Planck equation can be introduced. Stock price data in the previous past 10 days are inputted from a data input means 1, and stored in a data storage means 2. A parameter initial value calculating means 3 calculates a trendμand a volatilityσfrom the stock price data in the previous past 10 days to make the result an initial value. A finite element method numeric calculating means 4 solves the Fokker-Planck equation by using a Galerkin finite element method and a BTD method. A parameter updating means 5 calculates and updates the trendμand volatilityσon the basis if the result. This process is repeated only for 20 days. A data outputting means 6 outputs the predicted stock price for 20 days and the volatilityσ. <P>COPYRIGHT: (C)2005,JPO&NCIPI</p> |
