پیش‌بینی قیمت سهام با استفاده از تلفیق مدل مارکوف پنهان و زنجیره مارکوف

نوع مقاله : علمی - پژوهشی

نویسنده

. دانشیار، گروه مدیریت صنعتی دانشگاه شهید بهشتی

چکیده

در این تحقیق، تلفیقی از مدل «مارکوف پنهان» و مفهوم «زنجیره مارکوف» به­منظور پیش­بینی رفتار بازارهای مالی ارائه شده است. این ابزار توسعه­یافته می­تواند در تجزیه­وتحلیل بازار سهام، کاربردی مناسب داشته باشد. در ابتدا از الگوریتم ژنتیک به­منظور تعیین و تنظیم پارامترهای مدل «مارکوف پنهان» استفاده می­شود؛ سپس از مدل «مارکوف پنهان» تنظیم شده برای شناسایی و شناخت الگوهای مشابه در داده­های تاریخی استفاده می­شود و پس از آن مقدار قیمت برای روز بعد با استفاده از الگوهای مشابه و مفهوم «زنجیره مارکوف» محاسبه می­گردد. از چندین سهم به­منظور دست­یابی به نتایج مناسب استفاده شده است و سپس، نتایج مدل ارائه­شده با نتایج مدل موجود در مبانی نظری و همچنین با روش‌های معمول در اقتصادسنجی مقایسه شده است

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