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SIT718: Real World Analytics - Medibank Private Limited - Business Analytics Assignment Help
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It can be shown by using the Itô’s formula that when ?t = ? and ?t = ? are both constants the solution for St is,
assuming that at t = 0, S0; W0 = 0 .
1. Explain the meaning of ?t and ?t. Could these quantities be considered constant with time?
You are encouraged to research the information about stochastic modelling of share prices, Itô’s calculus online or in books, research articles. State clearly ANY assumptions you have made.
2. Select ONE company on the stock market from the FIVE companies listed below.
Companies:
• Australia and New Zealand Banking Group ANZ.AX
• National Australian Bank Limited (NAB.AX)
• Medibank Private Limited (MPL.AX)
• British Petrolium p.l.c. (BP)
• GlaxSmithKline plc (GSK)
Collect the closing share price data for this company for each trading day for 3 consecutive months, from 1 August 2018 to 31 October 2018 inclusive.
3. State the condition that share prices have to satisfy in order to be represented by a geometric Brownian motion? Does your data satisfy this condition? Check using appropriate statistical test and present your evidence in a suitable tabular format.
4. Compute ? and ? for your data assuming that they are both constant. You are encouraged to research the literature about ? and ? and find appropriate formulas to compute their values from the three months historic data.
5. Find information publicly available for your company, e.g. report and news releases. Using this information about the company, critically appraise the computed values of ? and ?.
6. Estimate the expected value of the share price on 16 November 2016 and compare with published data.
7. In the light of your findings, state the possible restrictions of your model.
Write a short report (up to 250 words) about your company using your research, model and results.
8. Presentation
Real World Analytics Assignment Help
Task: Let W be a Brownian motion. A stochastic process S has both a Newtonian term based on dt, where t is the time, and a Brownian term based on dWt, the infinitesimal increment of W. A stochastic process S can be defined as a continuous process (St, t ? 0) such that St can be written in differential form,It can be shown by using the Itô’s formula that when ?t = ? and ?t = ? are both constants the solution for St is,
assuming that at t = 0, S0; W0 = 0 .
1. Explain the meaning of ?t and ?t. Could these quantities be considered constant with time?
You are encouraged to research the information about stochastic modelling of share prices, Itô’s calculus online or in books, research articles. State clearly ANY assumptions you have made.
2. Select ONE company on the stock market from the FIVE companies listed below.
Companies:
• Australia and New Zealand Banking Group ANZ.AX
• National Australian Bank Limited (NAB.AX)
• Medibank Private Limited (MPL.AX)
• British Petrolium p.l.c. (BP)
• GlaxSmithKline plc (GSK)
Collect the closing share price data for this company for each trading day for 3 consecutive months, from 1 August 2018 to 31 October 2018 inclusive.
3. State the condition that share prices have to satisfy in order to be represented by a geometric Brownian motion? Does your data satisfy this condition? Check using appropriate statistical test and present your evidence in a suitable tabular format.
4. Compute ? and ? for your data assuming that they are both constant. You are encouraged to research the literature about ? and ? and find appropriate formulas to compute their values from the three months historic data.
5. Find information publicly available for your company, e.g. report and news releases. Using this information about the company, critically appraise the computed values of ? and ?.
6. Estimate the expected value of the share price on 16 November 2016 and compare with published data.
7. In the light of your findings, state the possible restrictions of your model.
Write a short report (up to 250 words) about your company using your research, model and results.
8. Presentation
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