HIGH-ORDER MULTIVARIATE MARKOV CHAIN APPLIED IN DOW JONES AND IBOVESPA INDEXES
ABSTRACT In this paper we analyzed the probabilities of transitions of state between Ibovespa and Dow Jones indexes using High-order Multivariate Markov Chain. While the stock market may be profitable, the existence of risks can lead to large losses. A mathematical model capable of considering diffe...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sociedade Brasileira de Pesquisa Operacional
2019-05-01
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| Series: | Pesquisa Operacional |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382019000100008&lng=en&tlng=en |