Stock Price Modeling Of Tencent And Baidu Companies, With Fractional Brownian Motion

In this thesis fractional Black and Scholes model considered and a mathemati-cal model of stock prices of two IT companies, Baidu(BIDU) and Tencent(TCEHY), represents with it. Closed prices are considered for modeling. This modeling uses a new approach to a fractional Brownian motion witch explained in Chapter3. Beside the modeling with fractional Brownian motion, stock prices of these com-panies, are modeled with classical Brownian motion. The accuracy index of the proposed model(ARPE) is compared with the Brownian motion model. Brownian motion model and fractional Brownian motion model are applied to identify BIDU and TCEHY closed prices. With using the discritization methods and programming with MATLAB software, closed prices of BIDU and TCEHY are simulated. Results show that the fractional Brownian motion is more accurate for foretelling the BIDU and TCEHY closed price than the classical Brownian motion.