Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China

Research Article

Simulation of Gold Price for the First 20 Years in the 21st Century with Random Walk Model

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  • @INPROCEEDINGS{10.4108/eai.17-6-2022.2322799,
        author={Shaomin  Yan and Guang  Wu},
        title={Simulation of Gold Price for the First 20 Years in the 21st Century with Random Walk Model},
        proceedings={Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China},
        publisher={EAI},
        proceedings_a={ICIDC},
        year={2022},
        month={10},
        keywords={gold price; random walk; simulation; finance and trade; stock market},
        doi={10.4108/eai.17-6-2022.2322799}
    }
    
  • Shaomin Yan
    Guang Wu
    Year: 2022
    Simulation of Gold Price for the First 20 Years in the 21st Century with Random Walk Model
    ICIDC
    EAI
    DOI: 10.4108/eai.17-6-2022.2322799
Shaomin Yan1, Guang Wu1,*
  • 1: Guangxi Academy of Sciences
*Contact email: hongguanglishibahao@gxas.cn

Abstract

Whether or not a stock index can be interpreted by the random walk model is important but debatable because it is closely linked to the weak form of the efficient market hypothesis (EMH). As an important commodity, a precious metal, and the reserve in central banks, the gold price is the objective of numerous studies. The issue of whether the gold price is subject to the weak form of EMH is interesting and important. Although the gold price is the oldest recorded price in human history, we select the first 20 years in the 21st century for this report to be consistent with our previous studies. In this report, the random walk model was used to simulate the gold daily close price because this task was previously approached using statistical tests. Our focus concentrates on the simulation in the decimal configuration, and the results show that the simulation becomes worse with increase of the number of years involved in simulation.