Using of Markov chains with varying state space for predicting short-term of the share price movements

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F17%3A43932333" target="_blank" >RIV/49777513:23510/17:43932333 - 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
Using of Markov chains with varying state space for predicting short-term of the share price movements
Original language description
This paper deals with stochastic modelling and short time prediction of a share price. It follows the works that use Markov chains analysis (MCA) with unvarying state space for predicting the share price movement. According to this analysis business strategies for the purchase and subsequent sale of shares were created. These strategies outperformed the market represented by the passive strategy Buy and Hold. This study uses MCA with varying state space. The state space is defined parametrically as a multiple of moving standard deviation. Three models of state space are calculated. The state space is defined by a moving standard deviation of lengths 10, 20, 30. Nine trading strategies are calculated for each of the models. For each of these trading strategies the achieved yield and the number of transactions are calculated. The study was performed on historical daily prices (open and close) of the CEZ shares in the ten years period from early 2006 to the end of 2015. The results are compared with the strategies which use MCA with unvarying state space and the passive strategy Buy and Hold.
Czech name
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Czech description
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Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
35-th International Confernce Mathematical Methods in Economics, Conference Proceedings
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
749-754
Publisher name
Gaudeamus, University of Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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