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Using the First Passage Times in Markov Chain Model to Support Financial Decisions on the Stock Exchange
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Using the First Passage Times in Markov Chain Model to Support Financial Decisions on the Stock Exchange
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| Creator |
Stawicki, Józef; Nicolaus Copernicus University
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| Subject |
Markov Chain; First passage times; Normal white noise; VaR.
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| Description |
The purpose of this article is to present the possibilities of using such a tool as Markov Chain to analyse the dynamics of returns observed at the Warsaw Stock Exchange. Process analysis is the basis for decision-making with regard to the accepted horizon. Expected times for achieving specified states, understood as intervals of rates of return, in particular those describing negative rates of return, are extremely important. In this context, there is a possibility of determining easily the value at risk with the accepted probability.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2016-12-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.003
10.12775/DEM.2016.003 |
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| Source |
Dynamic Econometric Models; Vol 16 (2016); 37-47
Dynamic Econometric Models; Vol 16 (2016); 37-47 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.003/10666
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| Rights |
Copyright (c) 2016 Dynamic Econometric Models
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