PREDICTION OF STOCK MARKET BEHAVIOR USING MARKOV CHAIN MODEL

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AMIRI MAGHSOUD; BIGLARI KAMI MAHDI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:20 Page(s): 79-94

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Information Journal Paper

Title

PREDICTION OF STOCK MARKET BEHAVIOR USING MARKOV CHAIN MODEL

Author(s)

AMIRI MAGHSOUD | BIGLARI KAMI MAHDI | Issue Writer Certificate

Keywords

STOCK MARKET BEHAVIORQ2

TECHNICAL ANALYSISQ1

RANDOM WALK MODELQ2

EFFICIENT MARKET THEORYQ2

MARKOV CHAIN MODELQ2

Abstract

Stock marketbehavior is one of the most complicated mechanisms ever studied by researchers over the time.The stock market can be analyzed in two different ways, namely fundamental analysis and TECHNICAL ANALYSIS. The first method of analysis is cause-oriented, while the second one involvesaneffect-oriented technique. One branch of the STOCK MARKET BEHAVIORin the TECHNICAL ANALYSIS is random modeling which incorporates one of the major techniques used in the EFFICIENT MARKET THEORY. Markov chain is utilized in this study as a random model in order to predict the stock price used. For this purpose, 9 different conditions are obtained from interaction of two variables: i.e. variation of stock price and daily turnover. Three conditions or levels are defined for each of these variables as being positive, neutral or negative. A case study of Dow Jones industrial average index is provided to investigate efficiency of the model, which verifies performance of the proposed model.

Cites

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

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APA: Copy

AMIRI, MAGHSOUD, & BIGLARI KAMI, MAHDI. (2014). PREDICTION OF STOCK MARKET BEHAVIOR USING MARKOV CHAIN MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(20), 79-94. SID. https://sid.ir/paper/197742/en

Vancouver: Copy

AMIRI MAGHSOUD, BIGLARI KAMI MAHDI. PREDICTION OF STOCK MARKET BEHAVIOR USING MARKOV CHAIN MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(20):79-94. Available from: https://sid.ir/paper/197742/en

IEEE: Copy

MAGHSOUD AMIRI, and MAHDI BIGLARI KAMI, “PREDICTION OF STOCK MARKET BEHAVIOR USING MARKOV CHAIN MODEL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 20, pp. 79–94, 2014, [Online]. Available: https://sid.ir/paper/197742/en

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