An integrated new threshold FCMs Markov chain based forecasting model for analyzing the power of stock trading trend

Kavitha Ganesan; Udhayakumar Annamalai; Nagarajan Deivanayagampillai

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An integrated new threshold FCMs Markov chain based forecasting model for analyzing the power of stock trading trend

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摘要

This paper explores the power of stock trading trend using an integrated New ThresholdFuzzy Cognitive Maps(NTFCMs)Markov chain model.This new model captures thepositive as well as the negative jumps and predicts the trend for different stocks over 4months which follow an uptrend,downtrend and a mixed trend.The mean absolute percent error(MAPE)tolerance limits,the root mean square error(RMSE)tolerance limits aredetermined for various stock indices over a multi-timeframe period and observed for theexisting methods lying within the defined limits.The results show for every‘n’number ofpredictions made,the predicted close value of the day’s stock price was within tolerancelimit with 0%error and with 100%accuracy in predicting the future trend.

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来源
《金融创新（英文）》 |2019年第1期|600-618|共19页
作者
Kavitha Ganesan; Udhayakumar Annamalai; Nagarajan Deivanayagampillai;
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作者单位

Department of Mathematics;

Hindustan Institute of Technology&Science;

Padur;

Chennai;

Tamil Nadu 603103;

India;

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原文格式 PDF
正文语种 chi
中图分类中国工业经济;
关键词
Financial markets; Prediction intervals; Price forecasting; Comparative studies; Decision making; Fuzzy cognitive maps(FCMs); Markov chain;

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An integrated new threshold FCMs Markov chain based forecasting model for analyzing the power of stock trading trend

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