Application of Discrete-time semi-Markov Model to the Stochastic forecasting of Capital assests as stock.
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Date
2021
Journal Title
Journal ISSN
Volume Title
Publisher
Far East Journal of theoretical Statistics
Abstract
In this paper, we developed and applied a stochastic model based on Discrete-time Semi Markov chain approach and its generalizations to study the high frequency price dynamics of traded stocks. Semi Markov is a stochastic process that generalizes both the Markov chain and the Markov renewal processes. it is well known that the performances of the stock market or factors that move stock prices are technical factors, fundamental factors and market sentiments.
Description
Keywords
Discrete-time Semi Markov Model, Stock prices, bull market, bear market, stagnant market