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Beginner's Analysis Of Financial Stochastic Process Models, David Garcia
Beginner's Analysis Of Financial Stochastic Process Models, David Garcia
HMC Senior Theses
This thesis explores the use of geometric Brownian motion (GBM) as a financial model for predicting stock prices. The model is first introduced and its assumptions and limitations are discussed. Then, it is shown how to simulate GBM in order to predict stock price values. The performance of the GBM model is then evaluated in two different periods of time to determine whether it's accuracy has changed before and after March 23, 2020.