A Markov Model for Stock Price Forecast
In this paper, we use Markov chain theory to forecast stock prices and analyze the trend of stock market. According to the Macro run-time cycles of the fluctuations of stock price and the theory of maximizing investment return, we establish the forecast model of stock price to make decision-making tend to be optimal in long-term benefits, and in combination with the empirical studies, calculate the number of days of maximizing the expected return to provide a reasonable arrangement of holdings to investors. The results show that using Markov Model to forecast stock price is certainly feasible and practical.
markov chain stock price stock returns running cycle forecast
GUAN Hua SUN Lihui
Editorial department of Hebei university of economics and business, P.R.China, 050061 School of Mathematics and Statistics, Hebei university of economics and business, P.R.China, 050061
国际会议
威海
英文
628-633
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）