About: Application of non-homogeneous Markov chain analysis to trend prediction of stock indices

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The present paper concerns with prolongation of our study aims to predict the stock index trend of various stock indices using Markov chain analysis (MCA). The prediction of the trend using MCA is done using short, medium and long-term data. Each downloaded data is divided into two periods. The first one is used for estimating the trend, whereas the second one is used for comparison and evaluation, too. In the basic framework, we may use either homogeneous MC or nonhomogeneous one. When building model we are focused both on various state space discretizations and corresponding construction of transition probability matrices. Non-homogeneous matrices are constructed by linear interpolants between two transition probability matrices at given time steps. These objects represent a core of any MCA and its application. The results of the trend prediction using both versions of MCA are compared. Numerical calculations and computer implementations have been done by Excel and Mathematica modules, which are briefly discussed as well. The present paper concerns with prolongation of our study aims to predict the stock index trend of various stock indices using Markov chain analysis (MCA). The prediction of the trend using MCA is done using short, medium and long-term data. Each downloaded data is divided into two periods. The first one is used for estimating the trend, whereas the second one is used for comparison and evaluation, too. In the basic framework, we may use either homogeneous MC or nonhomogeneous one. When building model we are focused both on various state space discretizations and corresponding construction of transition probability matrices. Non-homogeneous matrices are constructed by linear interpolants between two transition probability matrices at given time steps. These objects represent a core of any MCA and its application. The results of the trend prediction using both versions of MCA are compared. Numerical calculations and computer implementations have been done by Excel and Mathematica modules, which are briefly discussed as well. (en)
Title	Application of non-homogeneous Markov chain analysis to trend prediction of stock indices Application of non-homogeneous Markov chain analysis to trend prediction of stock indices (en)
skos:prefLabel	Application of non-homogeneous Markov chain analysis to trend prediction of stock indices Application of non-homogeneous Markov chain analysis to trend prediction of stock indices (en)
skos:notation	RIV/49777513:23510/13:43919711!RIV14-MSM-23510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Svoboda, Milan Lukáš, Ladislav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Západočeská univerzita v Plzni / Fakulta ekonomická
http://linked.open...dnocenehoVysledku	61785
http://linked.open...ai/riv/idVysledku	RIV/49777513:23510/13:43919711
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Markov chain analysis, transition probability matrix, stock index, trend prediction, time series analysis. (en)
http://linked.open.../riv/klicoveSlovo	Markov chain analysis time series analysis. transition probability matrix trend prediction stock index
http://linked.open...ontrolniKodProRIV	[8EA880ED8193]
http://linked.open...v/mistoKonaniAkce	Jihlava
http://linked.open...i/riv/mistoVydani	Jihlava
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2013: 31st International Conference: Proceedings
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Svoboda, Milan Lukáš, Ladislav
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2013-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	College of Polytechnics Jihlava
https://schema.org/isbn	978-80-87035-76-4
http://localhost/t...ganizacniJednotka	23510

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