Statistical Analysis On The Rate Of Stock Return And Price Forecast

In 1973 Fischer Black and Myron Scholes establish the formula of call option V = S_t N( d₁ )-Ke^-r(T-t)(d₂), which is known as the formula of Black-Scholes. It based on below basic supposition, (1) the primary property prices obey the geometry Brownian movement(2) non- risk interest rate r is constant, (3) the primary property does not pay the dividend, (4) not to pay the transaction cost and the tax revenue, (5) no the chance of arbitrage. Since the famous Black- Scholes formula publication, the financial theory aspect obtained leap development. By studying the stock market, however, many researchers discover that the stock prices do not obey the geometry Brownian movement, i.e., the logarithm return rate of stock prices do not obey normal distribution. For instance, literature [6] and [7], by analysis measured data, illustrate that Brownian movement and market actually is distanced really far. So people have focused on the problem of options pricing on more accurate description stock prices movement. Thus it can be seen that it is more important to study the stock prices movement. This paper doesn't directly study the problem of options pricing instead of exploring the problem of return rate of stock and price forecasting, which proves investment strategy for investors and do some work for exploring options pricing in the future.Studying the rule and characteristic of return rate must be explored when we study the return rate. Because kernel estimation has good nature, for example, asymptotic unbiased estimation, uniform asymptotic unbiased estimation, square consistency and strong consistency. Thus the first chapter of this document studies the distribution of return rate by nonparametric statistic way if the distribution can't be found, and provides investment strategy for investors. With the exception of this, investors want to know when the prices rise to or fall to some prices position, and how much the probability rising to or falling to another price position will be next step? For studying the problem, in the second chapter we introduce week return rate and maximum return rate in a week to explore the stock prices trend and investment strategies during the rise stage, fall stage and trim stage by the theory of Markov...