Empirical Study on the Prediction of Global Indices and Foreign Exchanges in New York Market with Markov Switch Model
碩士 === 國立高雄第一科技大學 === 財務管理系碩士班 === 105 === The trend of Indexes has been a popular topic. Many investors think that when prices are higher than a specific threshold, the prices are going higher. So, this study applied Regime-Switch Regression Model to predict the distribution of the prices. In addit...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/xj6s58 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理系碩士班 === 105 === The trend of Indexes has been a popular topic. Many investors think that when prices are higher than a specific threshold, the prices are going higher. So, this study applied Regime-Switch Regression Model to predict the distribution of the prices. In addition, we determine whether the price will go higher when the cumulated distribution value is higher than a specific threshold.
This study includes three sections. In the first part, we applied Regime-Switch Regression Model on the prediction of return distribution. We analyzed the prediction results in the second part. According to the results from the second part, we conducted a simulated trading and examined the performance.
The results show that most prices will keep increasing when their cumulated distribution values higher than specific thresholds.
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