SHS Web Conf.
Volume 39, 2017Innovative Economic Symposium 2017 (IES2017)
|Number of page(s)||8|
|Section||Strategic Partnerships in International Trade|
|Published online||06 December 2017|
Prediction of stock price developments using the Box-Jenkins method
Institute of Technology and Business, School of Expertness and Valuation, Okružní 517/10, 37001 České Budějovice, Czech Republic
* Corresponding author: firstname.lastname@example.org
Stock prices develop in a non-linear way. Naturally, the stock price prediction is one of the most important issues at stock markets. Therefore, a variety of methods and technologies is devoted to the prediction of these prices. The present article predicts the future development of the stock price of ČEZ, a. s., on the Prague Stock Exchange using the ARIMA method - the Box-Jenkins method. The analysis employs the final price of the last trading day in a given month, from February 2012 to September 2017. The data come from the Prague Stock Exchange database. Statistica software is used for processing the data, namely advanced time series prediction methods, the ARIMA tool, and autocorrelation functions. First, the current stock development of ČEZ, a.s., was graphically evaluated, and this was followed by a stock price prediction for the next 60 days in which the shares would be traded. Lastly, the prediction residues were analysed. It was confirmed that the calculation was done correctly, but with little accuracy. The conclusion is an assertion that the Box-Jenkins method is not a suitable tool for prediction.
Key words: Box-Jenkins / ARIMA / prediction / shares
© The Authors, published by EDP Sciences, 2017
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (http://creativecommons.org/licenses/by/4.0/).
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