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

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

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

35-th International Confernce Mathematical Methods in Economics, Conference Proceedings

ISBN

978-80-7435-678-0

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

6

Strana od-do

749-754

Název nakladatele

Gaudeamus, University of Hradec Králové

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

13. 9. 2017

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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