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SIT718 - Real World Analytics

   

Added on  2021-12-16

8 Pages264 Words137 Views
THE BEHAVIOR AND PERFORMANCE OF
SHARE PRICES
Assessment Task 2
SIT718 - Real World Analytics_1
The meaning of Mu and
Sigma
In the equation, Mu is called the drift at
time t, and Sigma the diffusion
(volatility) at time t for a given stock. No
they are not constant since their
respective values are dependent on time
i.e. t=0, 1, 2.
This means that the values of drift and
volatility change with variation in time. If
they were constant they would be
represented in the form and .
SIT718 - Real World Analytics_2
Closing stock prices for
British Petroleum P.L.C.
8/1/2018
8/6/2018
8/9/2018
8/14/2018
8/17/2018
8/22/2018
8/27/2018
8/30/2018
9/5/2018
9/10/2018
9/13/2018
9/18/2018
9/21/2018
9/26/2018
10/1/2018
10/4/2018
10/9/2018
10/12/2018
10/17/2018
10/22/2018
10/25/2018
10/30/2018
36
38
40
42
44
46
48
Closing Prices for BP (3M)
Close
Prices ($)
SIT718 - Real World Analytics_3

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