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Statements

Subject Item
n2:RIV%2F49777513%3A23510%2F12%3A43915580%21RIV13-MSM-23510___
rdf:type
n7:Vysledek skos:Concept
dcterms:description
The paper concerns with study aims at trying to predict the stock index trend of Prague stock exchange PX using Markov chain analysis (MCA). The prediction of the trend using MCA is done using time series of day closing prices from Jan.5, 2004, till Dec.30, 2009. Downloaded data are processed in order to provide current price rates and simple technical indicator, as well. Discrete state spaces are defined for four MCA models, and appropriate transition probability matrices are calculated. These objects represent a core of any MCA and its application. The results of the short-term trend prediction using MCA are reported for various investment strategies. Numerical calculations and computer implementations have been done by MS-Excel and Mathematica modules which are briefly discussed as well. The paper concerns with study aims at trying to predict the stock index trend of Prague stock exchange PX using Markov chain analysis (MCA). The prediction of the trend using MCA is done using time series of day closing prices from Jan.5, 2004, till Dec.30, 2009. Downloaded data are processed in order to provide current price rates and simple technical indicator, as well. Discrete state spaces are defined for four MCA models, and appropriate transition probability matrices are calculated. These objects represent a core of any MCA and its application. The results of the short-term trend prediction using MCA are reported for various investment strategies. Numerical calculations and computer implementations have been done by MS-Excel and Mathematica modules which are briefly discussed as well.
dcterms:title
Application of Markov chain analysis to trend prediction of stock indices Application of Markov chain analysis to trend prediction of stock indices
skos:prefLabel
Application of Markov chain analysis to trend prediction of stock indices Application of Markov chain analysis to trend prediction of stock indices
skos:notation
RIV/49777513:23510/12:43915580!RIV13-MSM-23510___
n7:predkladatel
n8:orjk%3A23510
n3:aktivita
n21:S
n3:aktivity
S
n3:dodaniDat
n16:2013
n3:domaciTvurceVysledku
n6:9161783 n6:7099053
n3:druhVysledku
n13:D
n3:duvernostUdaju
n19:S
n3:entitaPredkladatele
n12:predkladatel
n3:idSjednocenehoVysledku
123339
n3:idVysledku
RIV/49777513:23510/12:43915580
n3:jazykVysledku
n4:eng
n3:klicovaSlova
Markov chain analysis, transition probability matrix, stock index, trend prediction, time series analysis.
n3:klicoveSlovo
n9:transition%20probability%20matrix n9:trend%20prediction n9:time%20series%20analysis. n9:Markov%20chain%20analysis n9:stock%20index
n3:kontrolniKodProRIV
[F603CE252D00]
n3:mistoKonaniAkce
Karviná, Czech Republic
n3:mistoVydani
Karviná
n3:nazevZdroje
Proceedings of the 30th International Conference Mathematical Methods in Economics 2012
n3:obor
n15:BB
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n16:2012
n3:tvurceVysledku
Lukáš, Ladislav Svoboda, Milan
n3:typAkce
n20:WRD
n3:zahajeniAkce
2012-09-10+02:00
s:numberOfPages
6
n17:hasPublisher
Slezská univerzita v Opavě
n14:isbn
978-80-7248-779-0
n5:organizacniJednotka
23510