Využití Markovových řetězců pro predikování pohybu cen akcií

dc.contributor.authorSvoboda, Milan
dc.date.accessioned2015-10-07T11:33:12Z
dc.date.available2015-10-07T11:33:12Z
dc.date.issued2014
dc.description.abstract-translatedThis paper deals with stochastic modelling of short-term share prices movement using the Markov chains theory. The aim of the study is to find such prediction models which would be usable for creating business strategies for active trading at stock exchange. The research was carried out on the basis of day closing share prices of the company O2, negotiable at the Prague stock exchange during the seven years long period from the year 2006 to the year 2013. State space models were defined on the cumulative day price changes. On the basis of these cumulative day prices in total ten models of state space were calculated. We managed to find state space models with such states where a trend change occurs with sufficiently high probability. On four of these models the business strategies were applied. There were16 business strategies applied on each model. In most of these strategies the passive buy-and-hold strategy was beaten. The highly valued aspect for the further research is the fact that it was a compact set of winning models and business strategies.en
dc.format8 s.cs
dc.format.mimetypeapplication/pdf
dc.identifier.citationTrendy v podnikání = Business trends : vědecký časopis Fakulty ekonomické ZČU v Plzni. 2014, č. 2, s. 63-70.cs
dc.identifier.issn1805-0603
dc.identifier.urihttp://www.fek.zcu.cz/tvp/doc/akt/tvp-2-2014-clanek-8.pdf
dc.identifier.urihttp://hdl.handle.net/11025/16308
dc.language.isocscs
dc.publisherZápadočeská univerzita v Plznics
dc.relation.ispartofseriesTrendy v podnikánícs
dc.rights© Západočeská univerzita v Plznics
dc.rights.accessopenAccessen
dc.subjectanalýza Markovových řetězcůcs
dc.subjectpřechod pravděpodobných matriccs
dc.subjectindikátory technické analýzycs
dc.subjectobchodní strategiecs
dc.subject.translatedMarkov chain analysisen
dc.subject.translatedtransition probability matrixen
dc.subject.translatedtechnical analysis indicatorsen
dc.subject.translatedtrading strategiesen
dc.titleVyužití Markovových řetězců pro predikování pohybu cen akciícs
dc.title.alternativeUsing Markov chains for predicting the stock prices movementen
dc.typečlánekcs
dc.typearticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen

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