Predicting Stock Returns Using a Variable Order Markov Tree Model

DOI10.1515/1558-3708.1648zbMath1506.62418OpenAlexW2112337338MaRDI QIDQ5881666

Armin Shmilovici, Irad Ben-Gal

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/1558-3708.1648

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Application of Markov chain techniques for selecting efficient financial stocks for investment portfolio construction

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