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What is Simulating Stock Prices with GBM in Australia about?

This study uses the geometric Brownian motion (GBM) method to simulate stock price paths for large listed Australian companies over 2013-2014. The study finds that the simulated stock prices using GBM were only slightly better than 50% accurate in matching the direction of actual stock prices over different time horizons. The accuracy improved slightly when stock portfolios were formed. The literature review discusses research testing the validity and accuracy of GBM for stock price simulation, as well as m

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1152691418ms

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