کاربرد مدل حرکت براوونی هندسی تعمیم یافته توسط فرآیند رژیم سوئیچینگ مارکوف درشبیه سازی قیمت سهام: رویکرد پویایی شناسی سیستمی
الموضوعات :
ناهید مالکی نیا
1
,
حسین عسگری آلوج
2
,
ظاهر سپهریان
3
1 - گروه حسابداری و مدیریت ، واحد بیله سوار، دانشگاه آزاد اسلامی بیله سوار ، ایران
2 - گروه حسابداری و مدیریت، واحد بیله سوار، دانشگاه آزاد اسلامی ، بیله سوار ، ایران
3 - گروه ریاضی ، واحد بیله سوار، دانشگاه آزاد اسلامی ، بیله سوار ، ایران
الکلمات المفتاحية: کالیبراسیون, پویایی شناسی سیستم, حرکت براوونی هندسی, رانش, رژیم سوئیچینگ مارکوف,
ملخص المقالة :
هدف:دراین پژوهش تغییرات قیمت سهام شرکت ایران خودروپذیرفته شده در بورس اوراق بهادار تهران دردوره زمانی 23/9/1387 الی 13/12/1396 با هدف مدل سازی، بر اساس مدل حرکت براوونی هندسی تعمیم یافته بافرآیندرژیم سوئیچینگ مارکوف که شکل تعمیم یافته مدل حرکت براوونی هندسی می باشد، برروی مقوله پیش بینی مورد مطالعه قرار گرفته است.روش: مدل پژوهش بااستفاده ازرویکردپویایی شناسی سیستمی ونرم افزار Vensim DSS ابتدادرقالب نمودارعلی-معلولی و پس ازمشخص نمودن متغیرهای حالت وجریان، درقالب نمودارحالت وجریان تک حلقه ای ودوحلقه ای طراحی وشبیه سازی برای قیمت پایانی روزانه سهام انجام گرفت.دوپارامترریشه اختلال وگام زمانی به عنوان پارامترهای تحلیل حساسیت شناسایی وبکار‌گرفته شد. یافته ها: ابتدا خطای شبیه سازی به ازای تغییرات تصادفی درریشه اختلال 74/22 درصد و درگام زمانی 35/30 درصد برآوردشد. بعلت بالابودن خطای شبیه سازی بالاترازحدقابل قبول 15درصد، هردوپارامترکالیبره شدند. جهت تخمین مناسبی از محدوده پارامترهای کالیبراسیون ازروش آزمون وخطا و مشاهده میدانی رفتارسیستم استفاده گردید. خطای شبیه سازی پس ازکالیبراسیون به ازای پارامترریشه اختلال از 74/22 درصد به 5/8 درصد وبه ازای گام زمانی از 35/30 درصد به 63/3 درصد کاهش یافت. دقت شبیه سازی به ازای پارامترریشه اختلال از26/77 درصد به 5/91 درصد و به ازای گام زمانی از 65/69 درصد به 37/96درصد افزایش یافت.نتیجه گیری: نتایج‌نشان‌می‌دهد بابهینه سازی پارامترهای کالیبراسیون میزان ریشه های خطا به حالت ایده آل رسیده یعنی خطای نابرابری کوواریانس هابه سمت عدد یک و خطای نابرابری مبنا وخطای نابربری واریانس ها به سمت عدد صفر نزدیک شده ونشان ازصحت عملکردمدل پژوهش‌درشبیه سازی قیمت سهام دارد.
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