Table of Contents
ISRN Applied Mathematics
Volume 2014 (2014), Article ID 791418, 6 pages
http://dx.doi.org/10.1155/2014/791418
Research Article

Mathematical Model of Stock Prices via a Fractional Brownian Motion Model with Adaptive Parameters

School of Mathematics, Institute of Science, Suranaree University of Technology, Nakhon Ratchasima 30000, Thailand

Received 13 February 2014; Accepted 30 March 2014; Published 7 April 2014

Academic Editors: F. Sartoretto and C. Zhang

Copyright © 2014 Tidarut Areerak. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

The paper presents a mathematical model of stock prices using a fractional Brownian motion model with adaptive parameters (FBMAP). The accuracy index of the proposed model is compared with the Brownian motion model with adaptive parameters (BMAP). The parameters in both models are adapted at any time. The ADVANC Info Service Public Company Limited (ADVANC) and Land and Houses Public Company Limited (LH) closed prices are concerned in the paper. The Brownian motion model with adaptive parameters (BMAP) and fractional Brownian motion model with adaptive parameters (FBMAP) are applied to identify ADVANC and LH closed prices. The simulation results show that the FBMAP is more suitable for forecasting the ADVANC and LH closed price than the BMAP.