Simulation of Swiss Market Index (SMI) for the First 20 Years in the 21st Century and Weekly and Monthly Average from 1990 to 2010 with Random Walk

Shaomin Yan, Guang Wu

2022

Abstract

This is the continuation of our series of studies on use the random walk model to simulate stock indices in order to provide evidence to verify the efficient market hypothesis (EMH). In this study, our simulation is directed to the Swiss Market Index (SMI). However, we expand our approach not only to the SMI in the first 20 years in the 21st century, but also to the period from 1990 to 2010 by using daily, weekly and monthly close prices because our previous experience shows the volatility is the obstacle to set the command in Monte Carlo algorithm correctly. The results not only confirm what we found in our previous studies that the random walk model can simulate the SMI, but also provide fresh evidence on simulation on the moving average.

Paper Citation

in Harvard Style

Yan S. and Wu G. (2022). Simulation of Swiss Market Index (SMI) for the First 20 Years in the 21st Century and Weekly and Monthly Average from 1990 to 2010 with Random Walk. In Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM, ISBN 978-989-758-593-7, pages 1018-1022. DOI: 10.5220/0011364600003440

in Bibtex Style

@conference{bdedm22,
author={Shaomin Yan and Guang Wu},
title={Simulation of Swiss Market Index (SMI) for the First 20 Years in the 21st Century and Weekly and Monthly Average from 1990 to 2010 with Random Walk},
booktitle={Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM,},
year={2022},
pages={1018-1022},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011364600003440},
isbn={978-989-758-593-7},
}

in EndNote Style

TY - CONF

JO - Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM,
TI - Simulation of Swiss Market Index (SMI) for the First 20 Years in the 21st Century and Weekly and Monthly Average from 1990 to 2010 with Random Walk
SN - 978-989-758-593-7
AU - Yan S.
AU - Wu G.
PY - 2022
SP - 1018
EP - 1022
DO - 10.5220/0011364600003440