Assessment Task:
SIT718: Real World Analytics IT Assessment Answer

Assessment Task 2:

Problem Solving The aim of this assignment is to analyse the behaviour and performance of financial share prices of one company from the listed five Telecom & Utilities companies below:

• Australia and New Zealand Banking Group (ASX: ANZ)

• Downer EDI Limited (ASX: DOW) • SEEK Limited (ASX: SEK)

• BHP Billiton Limited (ASX: BHP) • Rio Tinto Limited (ASX: RIO) You can use Yahoo Finance to download the historical data of the company you have chosen at https://au.finance.yahoo.com By completing this assignment, you are required to write a case study report of no more than 7 pages, which should include the following information:

1. Your company’s name and the “principal activities” of this company. Choose one company from the list.

2. Collect share price data (daily closing price) for 3 consecutive months from 1 March 2019 to 31 May 2019 inclusive for the company of your choice. Visualise company’s share price data (daily closing price) for this period. Describe the general trend of the share price for this period. Produce your own graph.

3. Research the information about modelling of share prices, particularly the stochastic modelling (based on Geometric Brownian motion), to describe the behaviour of the company’s share price. A simplified version of the model is given below: "  = $exp () − ,- . / 1, where, $ is the initial value " is the share price on day t (this would be the tth trading day in your analysis)  is the drift is the volatility. Assume that drift and volatility in this model are constants. You are encouraged to research further the literature about and. Find and describe the meaning of the drift and volatility. Find appropriate formulas to compute their values – daily and annualised - from the historic data.

4. State the condition that share prices have to satisfy in order to be represented by a Geometric Brownian motion. Do your data satisfy this condition? Produce appropriate evidence to support your answer. Hint: the logarithm of the daily share prices change, i.e., log ("/"9:), is a normal distribution. 

5. Calculate the parameter values  and  (daily and annualised values) for the selected periods of three months (March-May) and for the last third month (May). What is the effect of time on ? and ?? Are the parameters constants (with time)? How this could affect the model performance?

6. Estimate the expected values of the share price on 4 days between 28 May and 31 May 2019 using the formula given above. Use the parameters  and  values, computed from the three months of historical data. Compare with the published real data. Comment on the results. 

7. Find information publicly available for your company, e.g. reports and news releases, and discuss their effect on the values of  and , and the values of the share price. Comment on the model’s performance and state the restrictions of the model. Link your results to the performance of the company and summarise your findings with around 300 words

 

This SIT718: IT Assessment has been solved by our IT experts at UniLearnO. Our Assignment Writing Experts are efficient to provide a fresh solution to this question. We are serving more than 10000+ Students in Australia, UK & US by helping them to score HD in their academics. Our experts are well trained to follow all marking rubrics & referencing style.

Be it a used or new solution, the quality of the work submitted by our assignment experts remains unhampered. You may continue to expect the same or even better quality with the used and new assignment solution files respectively. There’s one thing to be noticed that you could choose one between the two and acquire an HD either way. You could choose a new assignment solution file to get yourself an exclusive, plagiarism (with free Turnitin file), expert quality assignment or order an old solution file that was considered worthy of the highest distinction.

 

Eureka! You've stumped our genius minds (for now)! This exciting new question has our experts buzzing with curiosity. We can't wait to craft a fresh solution just for you!

  • Uploaded By : Noah
  • Posted on : November 20th, 2018

Whatsapp Tap to ChatGet instant assistance