STOCKS SELECTION USING FUZZY DEMATEL AND APPLICATION OF MARKOV CHAIN IN PREDICTING FUTURE STATES OF STOCKS

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MOHAMMADI ALI; KHALIFEH MOJTABA; MOEINI MOHAMMAD REZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2016 | Volume:7 | Issue:26 Page(s): 123-141

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Title

STOCKS SELECTION USING FUZZY DEMATEL AND APPLICATION OF MARKOV CHAIN IN PREDICTING FUTURE STATES OF STOCKS

Author(s)

MOHAMMADI ALI | KHALIFEH MOJTABA | MOEINI MOHAMMAD REZA | Issue Writer Certificate

Keywords

SELECTING STOCKQ1

CAPITAL MARKETQ1

FUZZY DEMATELQ2

MARKOV CHAIN PROCESSQ1

Abstract

One of the main issues that many stocks investors face it in CAPITAL MARKET is the decision making about buying shares and also predicting the future states of stocks during different time periods. The purpose of this study is to identify the criteria with high impact in evaluating and selecting of stocks and also predicting probable future states of stocks. For this, this research using FUZZY DEMATEL technique and gathering experts' opinions through interviews and questionnaire. This study also predicts probable future states of stocks for three big companies from stock exchange basic metal group by using MARKOV CHAIN PROCESS and collecting historical data. The results shows that "earning per share", "return of equity" and "stock price" are three criteria that have the highest effect on buying and SELECTING STOCKs and also predictive power for future stocks states and decision making about them are items that are obtained by MARKOV CHAIN PROCESS.

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APA: Copy

MOHAMMADI, ALI, KHALIFEH, MOJTABA, & MOEINI, MOHAMMAD REZA. (2016). STOCKS SELECTION USING FUZZY DEMATEL AND APPLICATION OF MARKOV CHAIN IN PREDICTING FUTURE STATES OF STOCKS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 7(26), 123-141. SID. https://sid.ir/paper/197737/en

Vancouver: Copy

MOHAMMADI ALI, KHALIFEH MOJTABA, MOEINI MOHAMMAD REZA. STOCKS SELECTION USING FUZZY DEMATEL AND APPLICATION OF MARKOV CHAIN IN PREDICTING FUTURE STATES OF STOCKS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2016;7(26):123-141. Available from: https://sid.ir/paper/197737/en

IEEE: Copy

ALI MOHAMMADI, MOJTABA KHALIFEH, and MOHAMMAD REZA MOEINI, “STOCKS SELECTION USING FUZZY DEMATEL AND APPLICATION OF MARKOV CHAIN IN PREDICTING FUTURE STATES OF STOCKS,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 7, no. 26, pp. 123–141, 2016, [Online]. Available: https://sid.ir/paper/197737/en

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