Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)

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Simulation of German DAX Index for the First 20 Years in the 21st Century with Random Walk Model

Authors
Shaomin Yan1, Guang Wu1, *
1National Engineering Research Center for Non-Food Biorefinery, State Key Laboratory of Non-Food Biomass and Enzyme Technology, Guangxi Biomass Engineering Technology Research Center, Guangxi Key Laboratory of Biorefinery, Guangxi Academy of Sciences, 98 Daling Road, Nanning, 530007, Guangxi, China
*Corresponding author. Email: hongguanglishibahao@gxas.cn
Corresponding Author
Guang Wu
Available Online 2 December 2022.
DOI
10.2991/978-94-6463-010-7_110How to use a DOI?
Keywords
DAX Index; Random Walk; Simulation; Finance And Trade; Stock Market
Abstract

The German DAX index is an important indicator not only for following German stock market but also for the health of German economy. The movement of the DAX index is thus the objective of many studies, to which the random walk model does not contribute a lot although this approach has been advocated for years. In the past, the random walk model was mainly done in terms of statistical tests rather than to simulate the real stock data. In this study, we applied the data generated by random walk model to fit the closing price of the DAX index for the first 20 years in this century, which were furthermore divided into five sub-periods. The results show that the simulation generated by random walk works for short sub-periods but has difficulty to mimic the DAX index for a longer period.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
Series
Atlantis Highlights in Intelligent Systems
Publication Date
2 December 2022
ISBN
978-94-6463-010-7
ISSN
2589-4919
DOI
10.2991/978-94-6463-010-7_110How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Shaomin Yan
AU  - Guang Wu
PY  - 2022
DA  - 2022/12/02
TI  - Simulation of German DAX Index for the First 20 Years in the 21st Century with Random Walk Model
BT  - Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
PB  - Atlantis Press
SP  - 1083
EP  - 1090
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-010-7_110
DO  - 10.2991/978-94-6463-010-7_110
ID  - Yan2022
ER  -