Application of GM (1, N)-Markov Model in Shanghai Composite Index Prediction

Wan-cai Yang (), Xin-qian Wu, Er-xin Zhang and Guang Zhu
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Wan-cai Yang: Henan University of Science and Technology
Xin-qian Wu: Henan University of Science and Technology
Er-xin Zhang: Henan University of Science and Technology
Guang Zhu: Henan University of Science and Technology

Chapter Chapter 59 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 625-635 from Springer

Abstract: Abstract In order to overcome the limitations of little used information and low accuracy for single stock market prediction model and the limitations of exponential trend for GM(1,1)-Markov combination forecast model, GM(1, N)-Markov model is suggested in this paper. Positive analysis is done for Shanghai composite index (monthly closing price). The results show that the established GM (1, 3)-Markov model outperforms the GM (1, 1) model and the GM (1, 1)-Markov model.

Keywords: Combination forecast; GM (1; N); Markov chain; Shanghai composite index (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-3-642-37270-4_59

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