Applying a Markov chain for the stock pricing of a novel forecasting model

DOI10.1080/03610926.2015.1083108MaRDI QIDQ4975149zbMATH OpenOpenAlexFDO

Authors Jui-Chieh Huang, Wen-Tso Huang, Pei-Tzu Chu, Wen-Yi Lee, Hsin-Ping Pai, Chih-Chen Chuang, Ya-Wen Wu

Publication date 3 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1083108

zbMATH Keywords

absorbing Markov chainforecast modelregular Markov chainstock price

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Markov Chain Model for Forecasting the Management Quality of Chinese A Share Listed Companies
• American option prices in a Markov chain market model
• Stock valuation along a Markov chain.

Cited in

(8)

• Evaluating probabilistic forecasts of stock prices in a developing stock market
• Stock valuation along a Markov chain.
• The profitability in the FTSE 100 index: a new Markov chain approach
• Application of Markov chain techniques for selecting efficient financial stocks for investment portfolio construction
• A Markov Chain Model for Forecasting the Management Quality of Chinese A Share Listed Companies
• An enhanced absorbing Markov chain model for predicting TAIEX index futures
• Analysis of share prices as Markov chains with countably infinite states
• scientific article; zbMATH DE number 5260790 (Why is no real title available?)

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