Stochastic Model on Share Price Movements in Finite State with Asymptotic Null Controllability Properties
Amadi, Innocent Uchenna
Department of Mathematics, Statistics, Captain Elechi Amadi Polytechnic, Rumuola, Port Harcourt, Nigeria.
Uyodhu Amekauma Victor-Edema *
Department of Statistics, Ignatius Ajuru University of Education, Rumuolumeni, Port Harcourt, Nigeria.
*Author to whom correspondence should be addressed.
Abstract
In this paper, a stochastic model of Markov chain and asymptotic null controllability properties for share prices were considered for decision making. The three-step transition probability and controllability matrices were developed and analyzed for independent banks such as Access and Fidelity, respectively. The précised measures which govern future share price changes for prediction were obtained. Furthermore, controllability analyses were conducted to demonstrate the non-singularity of the controllability matrices regarding the share prices of the two banks. This indicates to investors that the financial market is poised for stability in the long term, which constitutes the main focus of this paper. Several examples were provided to illustrate the dependability and efficiency of the model.
Keywords: Share price, Markov chain, access and fidelity, stochastic analysis and controllability matrix