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Patchanok Srisuradetchai. Markov chain-based stock forecasting : a case study on ADVANC using moving averages. (). King Mongkut's University of Technology North Bangkok. Central Library. : , 2024.
Markov chain-based stock forecasting : a case study on ADVANC using moving averages
Name: Patchanok Srisuradetchai
Organization :
Thammasat University. Department of Mathematics and Statistics
Email :
patchanok@mathstat.sci.tu.ac.th
keyword:
Markov chain
LCSH:
Stock exchanges
-- Forecasting
Abstract:
Applying a discrete-time Markov chain to stock
prices, which are inherently continuous in nature, necessitates
discretizationa critical step that significantly impacts
forecasting performance. This research aims to forecast future
states of stock prices using a discrete-time Markov chain and
employs various types of moving averages: simple moving
average (SMA), weighted moving average (WMA), and
exponential moving average (EMA). Focusing on ADVANC
stock, listed on the Stock Exchange of Thailand, as a case study
and using a training dataset, our findings reveal that the 4-day
WMA yields the highest accuracy at 65.5%, closely followed by
the 2-day EMA at 64.4%. An analysis of all 10 models indicates
that both the period and the type of moving average significantly
influence forecasting accuracy. However, for ADVANC stock,
EMA appears to be more suitable for discretization.
Additionally, this study proposes a step-by-step process for
stochastic analysis
King Mongkut's University of Technology North Bangkok. Central Library
Address:
BANGKOK
Email:
library@kmutnb.ac.th
Created:
2024
Modified:
2025-04-10
Issued:
2025-04-10
บทความ/Article
application/pdf
BibliograpyCitation :
In IEEE Thailand Section. Antennas and Propagation/Electron Devices/Microwave Theory and Techniques Joint Chapter, Electrical Engineering/Electronics, Computer, Telecommunications, and Information Technology Association, and King Mongkut's University of Technology North Bangkok. The 5th Research, Invention and Innovation Congress (RI2C 2024) (pp.112-117). Bangkok : IEEE Thailand Section
eng
©copyrights King Mongkut's University of Technology North Bangkok
RightsAccess:
ใช้เวลา
0.024386 วินาที
Patchanok Srisuradetchai
| Title | Contributor | Type |
|---|---|---|
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| Markov chain-based stock forecasting : a case study on ADVANC using moving averages
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Patchanok Srisuradetchai | บทความ/Article |