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Predicting Stock Price Index
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Applied Mathematics and Physics (CAMP). (Applied Mathematics, Finance Mathematics)
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Applied Mathematics and Physics (CAMP). (Applied Mathematics, Finance Mathematics)
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
Abstract [en]

This study is based on three models, Markov model, Hidden Markov model and the Radial basis function neural network. A number of work has been done before about application of these three models to the stock market. Though, individual researchers have developed their own techniques to design and test the Radial basis function neural network. This paper aims to show the different ways and precision of applying these three models to predict price processes of the stock market. By comparing the same group of data, authors get different results. Based on Markov model, authors find a tendency of stock market in future and, the Hidden Markov model behaves better in the financial market. When the fluctuation of the stock price index is not drastic, the Radial basis function neural network has a nice prediction.

Place, publisher, year, edition, pages
2010. , p. 57
Keywords [en]
Stock Price Index, Markov model, Hidden Markov model, Radial basis function neural network
National Category
Computational Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-3784OAI: oai:DiVA.org:hh-3784DiVA, id: diva2:291586
Presentation
2010-01-22, D 415, Halmstad University, D building, 13:15 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2010-02-02 Created: 2010-02-02 Last updated: 2010-02-03Bibliographically approved

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fulltext(1740 kB)2311 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf