Stock Market Modelling Using Markov Chain Analysis

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Stock Market Modelling Using Markov Chain Analysis

Popis výsledku v původním jazyce

Price reduction and increased computation performance as well as the development of electronic databases bring new possibilities for analysing and predicting stock markets. This study is focused on modelling share price changes using Markov chain analysis (MCA). The aim of the study is to analyse the possibilities of MCA usage for construction of technical analysis (TA) indicators. The study is based on the data from the Prague Stock Exchange in the space of 7 years from 2 January 2006 until 2 January 2013, specifically for the close daily prices of the following shares: ČEZ, Komerční Banka and Telefonica O2. Out of these close prices the share price daily change and the share price cumulated change for a certain period of time have been calculated. The length of time period has been determined by the number of growing or decreasing close prices in sequence. According to daily and cumulated share price changes three models with different discreet state spaces have been defined. For eac

Název v anglickém jazyce

Stock Market Modelling Using Markov Chain Analysis

Popis výsledku anglicky

Price reduction and increased computation performance as well as the development of electronic databases bring new possibilities for analysing and predicting stock markets. This study is focused on modelling share price changes using Markov chain analysis (MCA). The aim of the study is to analyse the possibilities of MCA usage for construction of technical analysis (TA) indicators. The study is based on the data from the Prague Stock Exchange in the space of 7 years from 2 January 2006 until 2 January 2013, specifically for the close daily prices of the following shares: ČEZ, Komerční Banka and Telefonica O2. Out of these close prices the share price daily change and the share price cumulated change for a certain period of time have been calculated. The length of time period has been determined by the number of growing or decreasing close prices in sequence. According to daily and cumulated share price changes three models with different discreet state spaces have been defined. For eac

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 11th International Conference Liberec Economic Forum 2013

ISBN

978-80-7372-953-0

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

551-557

Název nakladatele

Technical University

Místo vydání

Liberec

Místo konání akce

Sychrov

Datum konání akce

16. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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