Markov Modeling and Its Application in the Stock Market
WU Shi-yong · Journal of Kunming University of Science and Technology · 2009
We assume that the changing of the stock price is the homogeneous Markov chain,there are up and down states,initial probability is stationary.Then we build mathematical model and give the maximum likehood estimators of the unknown parameter in the model.At last,we apply this model to analyze the index of Shanghai and Shenzhen and changing of one of stocks,obtain satisfactory results.