Application of Markov Chain to stock trend: A study of PT HM Sampoerna, tbk.

3rd Annual Applied Science and Engineering Conference

工业技术;自然科学

Fitriyanto, A.^1 ; Lestari, T.E.^2

Applied Mathematics, Faculty of Engineering and Technology, Sampoerna University, Jakarta, Indonesia^1

Faculty of Engineering and Technology, Sampoerna University, Jakarta, Indonesia^2

关键词: Initial state vectors;    Investment decisions;    Market trends;    Markov chain models;    Probability transition matrix;    Share price;    Stock exchange;    Stock price;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/434/1/012007/pdf
DOI  :  10.1088/1757-899X/434/1/012007

来源: IOP

【 摘 要 】

One of attractive area for investment is the stock market. Indonesia stock exchange being a stock market in a region that is considered investors will take the opportunity to make investment decisions based on the future expectations of the stock market. Knowing the behaviour of the stock price of a company really important for investor. Therefore, we conduct this research with aimed at knowing the stock market trend movement. In the prediction of stock market trends are widely applied some models; one of model is Markov Chain model. The objective of this research is to apply Markov Chain in PT HM Sampoerna stock price. The data that use in this research is the closing price of PT HM Sampoerna which was obtained from yahoo finance website over a period covering from 1st January 2017 to 31st December 2017. A Markov Chain model was determined based on probability transition matrix and initial state vector. In the long run, the model predicted that PT HM Sampoerna share prices with probability 0.09, 0.40, 0.46, and 0.05 respectively.