An enhanced absorbing Markov chain model for predicting TAIEX Index Futures

DOI10.1080/03610926.2017.1300281zbMath1388.62308OpenAlexW2593320304MaRDI QIDQ4638690

Cheng-Chang Lu, Wen-Tso Huang

Publication date: 27 April 2018

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

Full work available at URL: https://doi.org/10.1080/03610926.2017.1300281

zbMATH Keywords

predictingabsorbing Markov chainTAIEX futuresTaiwan stock exchange capitalization weighted stock index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Cites Work

• Unnamed Item
• Stock valuation along a Markov chain.
• A Markov Chain Model for Forecasting the Management Quality of Chinese A Share Listed Companies
• A Class of Markov Chain Models for Average Run Length Computations for Autocorrelated Processes
• Applying a Markov chain for the stock pricing of a novel forecasting model
• Hierarchical Bayesian Approach to a Multi-Site Hidden Markov Model

This page was built for publication: An enhanced absorbing Markov chain model for predicting TAIEX Index Futures