MULTIVARIATE MARKOV CHAIN MODEL: AN APPLICATION TO S&P500 AND FTSE-100 STOCK EXCHANGES

Murat GÜL; Ersoy ÖZ

Makale detayları

MULTIVARIATE MARKOV CHAIN MODEL: AN APPLICATION TO S&P500 AND FTSE-100 STOCK EXCHANGES

Yazarlar:

Murat GÜL | Ersoy ÖZ

Yayıncı:

Marmara University

Ana Başlıklar:

Yönetim

Dergi:

Marmara Journal of Economics 2018 Vol.2 Issue 1, pp.75-88

Belge Tipi:

Makale

Yayın Tarihi:

2/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000493758

Sıklık:

İki Yıllık

eISSN:

2636-8307

pISSN:

2636-8307

Özet:

 

Markov chains are the stochastic processes that have many application areas. The data that belong to the system being analyzed in the Markov chains stem from a single source. The multivariate Markov chain model is a model that is used for the purpose of showing the behavior of multivariate categorical data sequences produced from the same source or a similar source. In this study we explain the multivariate Markov chain model that is based on the Markov chains from a theoretical standpoint in detail. As for an application, we take on the daily changes that occur in the S&P-500 Index in which the shares of the 500 greatest companies of the United States of America are traded and the daily changes that occur in the UK FTSE 100 Index as two categorical sequences. And we display the proportions that show how much they influence each other via a multivariate Markov chain model. .

Makale detayları

MULTIVARIATE MARKOV CHAIN MODEL: AN APPLICATION TO S&P500 AND FTSE-100 STOCK EXCHANGES

Yazarlar: Murat GÜL | Ersoy ÖZ

Yayıncı: Marmara University

Ana Başlıklar: Yönetim

Dergi: Marmara Journal of Economics 2018 Vol.2 Issue 1, pp.75-88

Belge Tipi: Makale

Yayın Tarihi: 2/2018

Belge Dili: İngilizce

Document ID (Org No.): 2000493758

Sıklık: İki Yıllık

eISSN: 2636-8307

pISSN: 2636-8307

Sayı

Yazarlar:

Murat GÜL | Ersoy ÖZ

Yayıncı:

Marmara University

Ana Başlıklar:

Yönetim

Dergi:

Marmara Journal of Economics 2018 Vol.2 Issue 1, pp.75-88

Belge Tipi:

Makale

Yayın Tarihi:

2/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000493758

Sıklık:

İki Yıllık

eISSN:

2636-8307

pISSN:

2636-8307