The profitability in the FTSE 100 index: a new Markov chain approach

DOI10.1007/S10690-019-09282-4zbMATH Open1437.91420OpenAlexW2973121708WikidataQ127291468 ScholiaQ127291468MaRDI QIDQ2180274FDOQ2180274

Authors: Flavio Ivo Riedlinger, João Nicolau 

Publication date: 13 May 2020

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09282-4

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zbMATH Keywords

multivariate Markov chainsalgorithmic tradingFTSE 100data-snooping testMTD-probit

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial markets (91G15)

Cites Work

• The Stationary Bootstrap
• Stepwise Multiple Testing as Formalized Data Snooping
• A Reality Check for Data Snooping
• A new model for multivariate Markov chains
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Higher-order multivariate Markov chains and their applications
• Estimation in the mixture transition distribution model
• Higher-order Markov chain models for categorical data sequences
• An EM algorithm for estimation in the mixture transition distribution model
• A Novel Estimation Approach for Mixture Transition Distribution Model in High-Order Markov Chains
• Title not available (Why is that?)
• A multivariate Markov chain model for categorical data sequences and its applications in demand predictions
• Statistical models and methods for financial markets
• The Behavior of Stock-Price Relatives—A Markovian Analysis

Cited In (3)

• A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach
• An enhanced absorbing Markov chain model for predicting TAIEX index futures
• Monitoring Stock Market Returns

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