Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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Simulation of Canadian S&P/TSX Composite 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, Guangxi, 530007, China
*Corresponding author. Email: hongguanglishibahao@gxas.cn
Corresponding Author
Guang Wu
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_199How to use a DOI?
Keywords
S&P/TSX Composite Index; random walk; simulation; finance and trade; stock market
Abstract

The Canadian S&P/TSX Composite Index is a capitalization-weighted equity index that records the stock performance in Toronto Stock Exchange (TSX), which is the primary stock exchange in Canada. The S&P/TSX is closely monitored by investors and becomes a barometer for the health of the Canadian economy. The random walk model is an important tool to prove or disprove the efficient market hypothesis (EMH). Generally, the use of random walk model to test this hypothesis is conducted using statistical tests. Recently, we conducted a series of studies to use the random walk model to directly simulate/fit the major stock indices around the world. As a part of such an effort, we use the random walk model to simulate the S&P/TSX for the first 20 years in the 21st century in this study. The results show that the random walk model can satisfyingly simulate the S&P/TSX trend for the long period, but fails for short periods.

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 mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
978-94-6463-042-8
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_199How 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  - 2022/12/29
TI  - Simulation of Canadian S&P/TSX Composite Index for the First 20 Years in the 21st Century with Random Walk Model
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 1369
EP  - 1374
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_199
DO  - 10.2991/978-94-6463-042-8_199
ID  - Yan2022
ER  -