Grey Markov Model Based on Parameter Fits and its Application in Stock Price Prediction

Author

Li, Cuifeng

Author_Institution

Net Center of Zhejiang Bus. Technol. Inst.

Volume

1

fYear

2006

fDate

16-18 Oct. 2006

Firstpage

594

Lastpage

598

Abstract

For uncertain and fluctuant system, a new kind of method - grey Markov model based on parameter fits is put forward. This method synthesizes the advantages of GM forecasting method, which is simple and needs less original data, and of Markov method which possesses the characteristics of nonlinear fitting. At last, the presented method is used to build model of the stock price, and the results are much better. The precision of model is up to 99%, and the practical application results show the effectiveness of the proposed approach. It is proved that the method is concise, useful and reliable. So the method can widen range of application of grey model

Keywords

Markov processes; forecasting theory; grey systems; prediction theory; pricing; stock markets; fluctuant system; forecasting method; grey Markov model; nonlinear fitting; parameter fits; stock price prediction; uncertain system; Differential equations; Fluctuations; Forward contracts; Intelligent systems; Parameter estimation; Predictive models; Random sequences; Time factors;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Systems Design and Applications, 2006. ISDA '06. Sixth International Conference on

Conference_Location

Jinan

Print_ISBN

0-7695-2528-8

Type

conf

DOI

10.1109/ISDA.2006.165

Filename

4021506