Corpus ID: 27259285

FINANCIAL TIME SERIES PREDICTION WITH THE TECHNOLOGY OF COMPLEX MARKOV CHAINS

@inproceedings{Soloviev2010FINANCIALTS,
  title={FINANCIAL TIME SERIES PREDICTION WITH THE TECHNOLOGY OF COMPLEX MARKOV CHAINS},
  author={V. Soloviev and V. Saptsin and D. Chabanenko},
  year={2010}
}
In this research the technology of complex Markov chains, i.e. Markov chains with a memory is applied to forecast financial time-series. The main distinction of complex or high-order Markov chains [1] and simple first-order ones is the existing of after effect or memory. The high-order Markov chains can be simplified to first-order ones by generalizing the states in Markov chains. Considering the “generalized state” as the sequence of states makes a possibility to model high-order Markov chains… Expand

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