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A markov model for investigating the stock market volume behavior

Authors:

R. Tharshan ,

University of Jaffna, LK
About R.
Department of Mathematics and Statistics
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S. Arivalzahan

University of Jaffna, LK
About S.
Department of Mathematics and Statistics
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Abstract

In recent decades, the stock market prediction has become a high research area due to its immense importance not only for every profitable industry, but also for shareholders and investors to hug out a self-assured decision for a good investment into the stock market. This paper provides a discrete time stochastic model for the behavior analysis of stock market volume, applying the Markov model. The proposed model is validated in terms of model assumptions to predict the stock market behavior. An illustration, the top ten largest global banks’ stock market behaviors through the steady-state distributions and expected number of transitions are discussed. Wherein the secondary datasets for 505 days of volumes from 1st of January 2014 to 31st of December 2015, 2 year duration are used in each bank.
DOI: https://doi.org/10.4038/jsc.v9i2.15
How to Cite: Tharshan, R. and Arivalzahan, S., 2018. A markov model for investigating the stock market volume behavior. Journal of Science, 9(2), pp.20–38. DOI: http://doi.org/10.4038/jsc.v9i2.15
Published on 31 Dec 2018.
Peer Reviewed

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