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Mehrdoust, Farshid, Noorani, Idin, Khavari, Mahdi. (1400). EFFICIENT ESTIMATION OF MARKOV-SWITCHING MODEL WITH APPLICATION IN STOCK PRICE CLASSIFICATION. , (), -. doi: 10.22054/jmmf.2021.64976.1042
Farshid Mehrdoust; Idin Noorani; Mahdi Khavari. "EFFICIENT ESTIMATION OF MARKOV-SWITCHING MODEL WITH APPLICATION IN STOCK PRICE CLASSIFICATION". , , , 1400, -. doi: 10.22054/jmmf.2021.64976.1042
Mehrdoust, Farshid, Noorani, Idin, Khavari, Mahdi. (1400). 'EFFICIENT ESTIMATION OF MARKOV-SWITCHING MODEL WITH APPLICATION IN STOCK PRICE CLASSIFICATION', , (), pp. -. doi: 10.22054/jmmf.2021.64976.1042
Mehrdoust, Farshid, Noorani, Idin, Khavari, Mahdi. EFFICIENT ESTIMATION OF MARKOV-SWITCHING MODEL WITH APPLICATION IN STOCK PRICE CLASSIFICATION. , 1400; (): -. doi: 10.22054/jmmf.2021.64976.1042

EFFICIENT ESTIMATION OF MARKOV-SWITCHING MODEL WITH APPLICATION IN STOCK PRICE CLASSIFICATION

Journal of Mathematics and Modeling in Finance
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 07 دی 1400  XML
نوع مقاله: Original Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2021.64976.1042
نویسندگان
Farshid Mehrdoust email 1؛ Idin Noorani2؛ Mahdi Khavari2
1Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan
2University of Guilan
چکیده
In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in

stock economics, we propose an efficient estimation method to sample a series of stock prices based on the expectation-maximization algorithm. We also implement an empirical application to evaluate the performance of the suggested model. Numerical results through the classification of the data set show that the proposed Markov-switching model fits the actual stock prices and reflects the main stylized facts of market dynamics. Since the motivation for this research comes from a recent stream of literature in

stock economics, we propose an efficient estimation method to sample a series of stock prices based on the expectation-maximization algorithm. Numerical results through the classification of the data set show that the proposed Markov-switching model fits the actual stock prices and reflects the main stylized facts of market dynamics. Since the motivation for this research comes from a recent stream of literature in

stock economics, we propose an efficient estimation method to sample a series of stock prices based on the expectation-maximization algorithm.
کلیدواژه‌ها
Regime-switching model؛ Estimation of Parameter؛ Expectation-maximization algorithm؛ Classification
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تعداد مشاهده مقاله: 90


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