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Can you describe the stock index with a Markov chain?
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The project has as task, if possible, to predict the stock market by assuming that it behaves like a Markov chain. To accomplish this, Markov chains of order one, two and three are used. All the observed stocks are considered as up- or downgoing at closing. This leaves the Markov chain with two possible states. Both daily and weekly reports occur. A program is constructed to be able to generate hints on how the stock price is going to change in the future. The program which does these calculations also tests itself to see the proportion of correct hints, i.e. how efficient the program is. The efficiency is measured in two made-up constants, the

GJ constant and the J constant. The program in use is Matlab.

Keywords: Markov chain, higher order, two states, self-test, Matlab.

Abstract [sv]

Detta projekt handlar om att, om möjligt, predicera börsen genom att anta att den beter sig som en Markovkedja. Genom att göra detta används Markovkedjor av ordning ett, två och tre. Börsen iakttas som upp- eller ned-gång vid stängning vilket gör att Markovkedjan har två tillstånd. Det finns både dagliga rapporter och sådana som sträcker sig över en vecka. Ett program är konstruerat för att kunna ge tips för hur kursen rör sig i framtiden. Programmet som gör beräkningarna testar även sig själv för att se hur stor del av gissningarna som stämde, dvs. hur effektivt programmet är. Effektiviteten sammanfattas i två olika uttänkta konstanter, GJ-konstanten och J-konstanten. Beräkningshjälpmedel är Matlab.

Nyckelord: Markovkedja, högre ordning, två tillstånd, självkontroll, Matlab

Place, publisher, year, edition, pages
2012. , 49 p.
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-105228OAI: oai:DiVA.org:kth-105228DiVA: diva2:605178
Uppsok
Technology
Available from: 2012-11-19 Created: 2012-11-19 Last updated: 2013-02-13Bibliographically approved

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