A new stock index fuzzy stochastic prediction model developed by introducing a Markov chain

作者：Li Songsong^*; Hui Xiaofeng

来源：Journal of Harbin Engineering University, 2011, 32(8): 1086-1090.

DOI：10.3969/j.issn.1006-7043.2011.08.022

• Empirical studies
• Improved models
• Markov Chain
• Original model
• Prediction model
• Stock index forecasting
• Stock indices
• Transition probabilities

With the aim of acquiring more accurate and reliable stock index forecasting results, this paper introduced the concept of a Markov chain and the transition probability on rise or fall of stock index into the fuzzy stochastic predicted model to improve the predicted parameters. In the practical study by applying the 2009 full-year HS300 stock index(60 minutes in every day) as specimen, the original fuzzy stochastic predicted model and the fuzzy stochastic predicted model with improved predicted parameters were used. This empirical study shows that the predicted results of the improved model are closer to real HS300 stock indexes than the original model. The study shows that this method, which introduces the Markov chain and transition probability into the predicted model, makes the predicted parameters of the fuzzy stochastic predicted model more effective than before.

• 出版日期2011