Efficient Market Theory from the point of view of Markov chains 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

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

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

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

5

Strana od-do

772-776

Název nakladatele

University of West Bohemia Pilsen

Místo vydání

Pilsen

Místo konání akce

Cheb

Datum konání akce

9. 9. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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