Markov property and stability index of total index in Tehran Stock Exchange
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
Markov chains as a special kind of random processes such that the future status of process is dependent on current status, has many applications in industry, biology, finance, etc. The Markov Chain Analysis framework provides answers to questions that may not be appropriate in other analytical frameworks such as fundamental, technical, and time series. This study with two different methods show that two week rate of return (fourteen days) of Tehran Stock Exchange Index is a markov chain in a state space consists of six status and defined on the basis of return and risk. The average time to transfer between the state space is also between 4 to 13 days, and also the maximum amount of probability (which represents the long-term behavior of the process) relates to a situation in which the return is greater than average.
Keywords:
Language:
Persian
Published:
Financial Management Perspective, Volume:9 Issue: 25, 2019
Pages:
31 to 57
magiran.com/p2001851
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