Application of GM (1, N)-Markov model in Shanghai composite index prediction

Wancai Yang,Xinqian Wu,Erxin Zhang,Guang Zhu

19th International Conference on Industrial Engineering and Engineering Management（2013）

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摘要

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. © 2013 Springer-Verlag Berlin Heidelberg.

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关键词

combination forecast,gm (1,n),markov chain,shanghai composite index

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