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

DOI10.1080/03610926.2015.1083108zbMath1368.60077OpenAlexW2366406386MaRDI QIDQ4975149

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

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

stock priceabsorbing Markov chainregular Markov chainforecast model

Mathematics Subject Classification ID

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

Related Items (1)

An enhanced absorbing Markov chain model for predicting TAIEX Index Futures

Cites Work

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

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