Efficient Market Theory from the point of view of Markov chains analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F15%3A43926175" target="_blank" >RIV/49777513:23510/15:43926175 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Efficient Market Theory from the point of view of Markov chains analysis
Original language description
This paper follows our previous studies which were dealing with applicability of Markov chains analysis (MCA) for prediction of the Czech Stock Market. These studies indicated that the trading strategies based on MCA could beat the market. However, thatis in contradiction to the Efficient Market Theory. Now we focus on the question whether share markets perform random walk. When analysing we proceed from the following idea. In the case that a share rate makes a random walk, other step should not be dependent on the previous step. Provided that, the probability of the transition from any state i to the state j should be equal to the relative frequency of the state j and should be equal to the fixed vector components. The transition probability matrix should be identical to the limit matrix. The study is carried out on the day prices changes of three share titles ČEZ, KB, O2. In order to verify the hypothesis of concordances of individual rows in the transition probability matrix with t
Czech name
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Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
33rd international conference Mathematical Methods in Economics 2015 - Conference Proceedings
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
772-776
Publisher name
University of West Bohemia Pilsen
Place of publication
Pilsen
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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