STOCK PRICE PREDICTION USING MARKOV CHAINS ANALYSIS WITH VARYING STATE SPACE ON DATA FROM THE CZECH REPUBLIC

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dc.contributor.authorSvoboda, Milan
dc.contributor.authorŘíhová, Pavla
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2021-12-09T09:34:59Z
dc.date.available2021-12-09T09:34:59Z
dc.description.abstractThe article describes empirical research that deals with short-term stock price prediction. The aim of this study is to use this prediction to create successful business models. A business model that outperforms the stock market, represented by the Buy and Hold strategy, is considered to be successful. A stochastic model based on Markov chains analysis with varying state space is used for short-term stock price prediction. The varying state spate is defined based on multiples of the moving standard deviation. A total of 80 state space models were calculated for the moving standard deviation with 5-step lengths from 10 to 30 in combination with the standard deviation multiples from 0.5 to 2.0 with the step of 0.1. The efficiency of the business models was verified for 3 long-term, liquid stocks of the Czech stock market, namely the stocks of KB, CEZ, and O2 within a 14-year period – from the beginning of 2006 to the end of 2019. Business models perform best when they use a state space defined on the length of a moving standard deviation between 15 and 30 in combination with multiples of the standard deviation between 1.1 and 1.2. Business models based on these parameters outperform the passive Buy and Hold strategy. In fact, they outperform the Buy and Hold strategy for both the entire period under review and the yielded five-year periods (including transaction fees). The only exception is the five-year periods covering 2015 for O2 stocks. After the end of the uncertainty period caused by unclear intentions of the new majority stockholder, the stock price rose sharply. These results are in conflict with the efficient markets theory and suggest that in the period under review, the Czech stock market was not effective in any form.en
dc.formattext
dc.identifier.doi10.15240/tul/001/2021-4-009
dc.identifier.eissn2336-5604
dc.identifier.issn1212-3609
dc.identifier.urihttps://dspace.tul.cz/handle/15240/161030
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
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dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjectStock market predictionen
dc.subjecttechnical analysisen
dc.subjectMarkov chainsen
dc.subjectefficient market theoryen
dc.subject.classificationC02
dc.subject.classificationC13
dc.subject.classificationG14
dc.subject.classificationG17
dc.titleSTOCK PRICE PREDICTION USING MARKOV CHAINS ANALYSIS WITH VARYING STATE SPACE ON DATA FROM THE CZECH REPUBLICen
dc.typeArticleen
local.accessopen
local.citation.epage155
local.citation.spage142
local.facultyFaculty of Economics
local.fulltextyes
local.relation.abbreviationE+Mcs
local.relation.abbreviationE&Men
local.relation.issue4
local.relation.volume24
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