# 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

#### 5 Citations

Markov Chains application to the financial-economic time series prediction

- Economics, Physics
- 2011

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… Expand

Visibility graphs and precursors of stock crashes

- Computer Science
- Neuro-Fuzzy Modeling Techniques in Economics
- 2019

It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of crisis phenomena. Expand

Modeling of Investment Attractiveness of Countries Using Entropy Analysis of Regional Stock Markets

- Economics
- 2019

The current study focuses on the problem of determining investment attrаctiveness of countries by means of monitoring regional stock markets. The method of using the permutation entropy as a model of… Expand

Prediction Model of Weekly Retail Price for Eggs Based on Chaotic Neural Network

- Biology
- 2013

The result shows that the chaotic neural network has better nonlinear fitting ability and higher precision in the prediction of weekly retail price of eggs and can be widely used in the field of short-term prediction of agricultural prices. Expand

HEISENBERG UNCERTAINTY PRINCIPLE AND ECONOMIC ANALOGUES OF BASIC PHYSICAL QUANTITIES

- Physics, Economics
- 2011

From positions, attained by modern theoretical physics in understanding of the universe bases, the methodological and philosophical analysis of fundamental physical concepts and their formal and… Expand

#### References

SHOWING 1-8 OF 8 REFERENCES

PREDICTION OF FINANCIAL TIME SERIES WITH HIDDEN MARKOV MODELS

- Computer Science
- 2004

An extension of the Hidden Markov Model is developed that addresses two of the most important challenges of financial time series modeling: non-stationary and non-linearity and includes a novel exponentially weighted Expectation-Maximization (EM) algorithm to handle these two challenges. Expand

Time Series Prediction: Forecasting the Future and Understanding the Past

- Economics, Computer Science
- 1994

By reading time series prediction forecasting the future and understanding the past, you can take more advantages with limited budget. Expand

Relativistic quantum econophysics - new paradigms in complex systems modelling

- Physics, Computer Science
- 2009

This work deals with the new, relativistic direction in quantum econophysics, within the bounds of which a change of the classical paradigms in mathematical modelling of socio-economic system is… Expand

Neural computing - theory and practice

- Computer Science
- 1989

The neural computing theory and practice book will be the best reason to choose, especially for the students, teachers, doctors, businessman, and other professions who are fond of reading. Expand

A Tutorial on Hidden Markov Models and Selected Applications

- Mathematics, Computer Science
- 1989

The fabric comprises a novel type of netting which will have particular utility in screening out mosquitoes and like insects and pests. The fabric is defined of voids having depth as well as width… Expand

Experience of application genetically complex Markov chains for neural networks technology prediction, Visnyk Krivoriz`kogo ekonomichnogo institutu KNEU

- Markov processes. Moscow: Soviet Radio,
- 1977

Prediction of financial time series with the technology of high - order Markov chains

- Working Group on Physics of Socio - economic Systems ( AGSOE )
- 2009