2012/12/05 by Ivan Kitov, Kitov, Ivan
Economics, Econometrics and Finance · #FOS: Economics and business #General Finance (q-fin.GN) #q-fin.GN
paper · pdf · doi:10.48550/arxiv.1212.1661
12 pages, 5 figures
arxiv created 2012/12/05 · arxiv updated 2012/12/10
We have studied statistical characteristics of five share price time series. For each stock price, we estimated a best fit quantitative model for the monthly closing price as based on the decomposition into two defining consumer price indices selected from a large set of CPIs. It was found that there are two pairs of similar models (Bank of America/Morgan Stanley and Goldman Sachs/JPMorgan Chase) with a standalone model for Franklin Resources. From each pair, one can choose the company with the highest return depending on the future evolution of defining CPIs