Sökning: "markov chains"

Visar resultat 1 - 5 av 51 uppsatser innehållade orden markov chains.

  1. 1. Stock market analysis with a Markovian approach: Properties and prediction of OMXS30

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Max Aronsson; Anna Folkesson; [2023]
    Nyckelord :Markov chain; OMXS30; Markov chain properties; voting ensemble model; markovkedja; OMXS30; egenskaper hos markovkedjor; ensemble-modell;

    Sammanfattning : This paper investigates how Markov chain modelling can be applied to the Swedish stock index OMXS30. The investigation is two-fold. Firstly, a Markov chain is based on index data from recent years, where properties such as transition matrix, stationary distribution and hitting time are studied. LÄS MER

  3. 2. A Markovian Approach to Financial Market Forecasting

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Kevin Sun Wang; William Borin; [2023]
    Nyckelord :Markov chain; Markov model; stock market prediction; Laplace smoothing; steady-state; forecasting; trading strategy; stochastic; trading algorithm; Markovkedjor; Markovmodell; prediktion; Laplace-jämning; stationär fördelning; tradingstrategi; stokastisk; trading algoritm;

    Sammanfattning : This thesis aims to investigate the feasibility of using a Markovian approach toforecast short-term stock market movements. To assist traders in making soundtrading decisions, this study proposes a Markovian model using a selection ofthe latest closing prices. LÄS MER

  4. 3. Adaptive random walks on graphs to sample rare events

    Master-uppsats, Stockholms universitet/Fysikum

    Författare :David Christoph Stuhrmann; [2023]
    Nyckelord :statistical physics; graphs; random walks; large deviation theory; adaptive power method; dynamical phase transition;

    Sammanfattning : In this thesis, I study fluctuations and rare events of time-additive observables of discrete-time Markov chains on finite state spaces. The observable of interest is the mean node connectivity visited by a random walk running on instances of an Erdős-Rényi (ER) random graph. LÄS MER

  5. 4. Perron-Frobenius' Theory and Applications

    Kandidat-uppsats, Linköpings universitet/Algebra, geometri och diskret matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Karl Eriksson; [2023]
    Nyckelord :Positive matrices; nonnegative matrices; Perron-Frobenius; linear dynamical systems; Leslie matrices; Markov chain; Google s PageRank algorithm; Positiva matriser; icke-negativa matriser; Perron-Frobenius; linjära dynamiska system; Leslie matris; Markov-kedja; Google s PageRank algoritm;

    Sammanfattning : This is a literature study, in linear algebra, about positive and nonnegative matrices and their special properties. We say that a matrix or a vector is positive/nonnegative if all of its entries are positive/nonnegative. First, we study some generalities and become acquainted with two types of nonnegative matrices; irreducible and reducible. LÄS MER

  7. 5. Stationary Distribution of Markov Chain

    Magister-uppsats, Uppsala universitet/Matematiska institutionen

    Författare :Eleazar Neamat; [2023]
    Nyckelord :;

    Sammanfattning : Markov chain is a mathematical tool for modeling systems that evolve over time and hasbeen used in many fields such as physics, chemistry, economics, biology, and data science.This thesis contains an introduction to the theory and the applications of Markov chains,focusing on those with finite state spaces. LÄS MER