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Forecasting The Stock Market Values Using Hidden Markov Model

International Journal of Business Analytics and Intelligence

Volume 4 Issue 1

Published: 2016
Author(s) Name: R. Sasikumar, A. Sheik Abdullah | Author(s) Affiliation: Department of Statistics, Manonmaniam Sundaranar University, Tirunelveli, Tamil Nadu, India
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Abstract

The financial market influences personal corporate financial lives and the economic health of a country. Price change of stock market is not a completely random model. The pattern of financial market has been observed by some economists, statisticians and computer scientists. This paper gives a detailed idea about the sequence and state prediction of stock market using Hidden Markov Model and also making inferences regarding stock market trend. The one day difference in close value of stock market value has been used for some period and the corresponding transition probability matrix and emission probability matrix are obtained. Seven optimal hidden states and three sequences are generated using MATLAB and then compared.

Keywords: Hidden Markov Model, Transition Probability Matrix, Emission Probability Matrix, Stock Market, States and Sequence

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