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Application of GM (1, N)-Markov Model in Shanghai Composite Index Prediction

In: The 19th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Wan-cai Yang

    (Henan University of Science and Technology)

  • Xin-qian Wu

    (Henan University of Science and Technology)

  • Er-xin Zhang

    (Henan University of Science and Technology)

  • Guang Zhu

    (Henan University of Science and Technology)

Abstract

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.

Suggested Citation

  • Wan-cai Yang & Xin-qian Wu & Er-xin Zhang & Guang Zhu, 2013. "Application of GM (1, N)-Markov Model in Shanghai Composite Index Prediction," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), The 19th International Conference on Industrial Engineering and Engineering Management, edition 127, chapter 0, pages 625-635, Springer.
  • Handle: RePEc:spr:sprchp:978-3-642-37270-4_59
    DOI: 10.1007/978-3-642-37270-4_59
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