Analysis and comparison of statistical fluctuation analysis patterns with numerical method of drop motion algorithm for Tehran Stock Exchange stock price index

Subject Areas : Stock Exchange

Mohammad Reza Ziyaei Najafabadi ¹ , Seyed Reza Ghazi Fini ²

1 - Department of Economics and Financial Sciences, Faculty of Economics, Isfahan University, Isfahan, Iran
2 - Department of Accounting, Natanz Branch, Islamic Azad University, Natanz, Iran

Received: 2022-01-26 Accepted : 2022-03-27 Published : 2023-03-21

Keywords: Geometric Brownian Motion, Geometric Motion Drop Algorithm, De-trending,

Abstract :

There are various methods for comparing the explanatory power and validity test of deregulation patterns to numerical solution methods with their equivalent methods in the financial and technical literature. Also, the advantages of this comparison of patterns are more for the methods of analysis of index fluctuations and de-trending and its reliability to the methods of estimation and regression. Therefore, the purpose of this study was to analyze and compare the explanatory power of the model between the numerical solution method and the estimation approach using regression. In this regard, the new geometric method of droplet motion and pattern solving using the innovative Fokker-Planck algorithm and the Augmented Dicky-Fuller estimation method were compared with the trend-reliability assumption. Statistical population of Tehran Stock Exchange stock price index research; And the statistical sample was the daily values of the index from 1390s to the end of 1399s. The results of de-trending and reporting the explanatory power of the patterns were stated that explanatory power of the geometric pattern of drop solution is more than other models, which indicates the greater validity of the analysis of the movement of the index according to this model than the statistical model named Dicky-Fuller generalized.