Cross Comparison and Modelling of Goldman Sachs, Morgan Stanley, JPmorgan Chase, Bank of America, and Franklin Resources

12 Pages Posted: 7 Dec 2012

See all articles by Ivan Kitov

Ivan Kitov

Russian Academy of Sciences (RAS) - Institute for the Geospheres Dynamics

Date Written: December 6, 2012

Abstract

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.

Keywords: share price, modeling, CPI, prediction, USA, bankruptcy

JEL Classification: E4, G1, G2, G3

Suggested Citation

Kitov, Ivan O., Cross Comparison and Modelling of Goldman Sachs, Morgan Stanley, JPmorgan Chase, Bank of America, and Franklin Resources (December 6, 2012). Available at SSRN: https://ssrn.com/abstract=2185896 or http://dx.doi.org/10.2139/ssrn.2185896

Ivan O. Kitov (Contact Author)

Russian Academy of Sciences (RAS) - Institute for the Geospheres Dynamics ( email )

Leninsky prospect 38/1
Moscow, Moscow 119334
Russia

HOME PAGE: http://idg3.chph.ras.ru

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