Corpus ID: 58937656

Markov Chains application to the financial-economic time series prediction

@inproceedings{Soloviev2011MarkovCA,
  title={Markov Chains application to the financial-economic time series prediction},
  author={Vladimir Soloviev and Vladimir Saptsin and Dmitry Chabanenko},
  year={2011}
}
  • Vladimir Soloviev, Vladimir Saptsin, Dmitry Chabanenko
  • Published 2011
  • Economics, Physics
  • In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The technology proposes prediction with the hierarchy of time discretization intervals and splicing procedure for the prediction results at the different frequency levels to the single prediction output time series. The hierarchy of time discretizations gives a… CONTINUE READING

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