Abstract
Stock Market Trend Analysis using Hidden Markov Model
by
G. Kavitha
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer scientists. This paper gives an idea about the trend analysis of stock market behavior using Hidden Markov Model (HMM). The trend once followed over a particular period will sure repeat in future. The one day difference in close value of stocks for a certain period is found and its corresponding steady state probability distribution values are determined. The pattern of the stock market behavior is then decided based on these probability values for a particular time. The goal is to figure out the hidden state sequence given the observation sequence so that the trend can be analyzed using the steady state probability distribution values. Six optimal hidden state sequences are generated and compared. The one day difference in close value when considered is found to give the best optimum state sequence.
Committee
Workshop
Key Dates
Communication
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