Analysis and Prediction of Stock Prices for China’s Big Four Banks Based on Markov Chain
Abstract
logarithmic return method. Then, it analyzes returns and volatility, and applies the Markov chain to predict the return changes of these banks.
The results show that the four banks have different risk characteristics. Only the predicted returns of the Construction Bank are accurate,
while the actual returns of the other three banks are higher than the predicted ones. This indicates that the Markov chain method can effectively predict the minimum returns of the big four banks and that its prediction accuracy are related to the risk characteristics of the predicted
stocks.
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DOI: http://dx.doi.org/10.18686/fm.v10i5.14180
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