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http://dx.doi.org/10.9708/jksci.2011.16.2.225

Modeling and Prediction of Time Series Data based on Markov Model  

Cho, Young-Hee (Dept. of Computer Science, Dankook University)
Lee, Gye-Sung (Dept. of Computer Science, Dankook University)
Publication Information
Journal of the Korea Society of Computer and Information / v.16, no.2, 2011 , pp. 225-233 More about this Journal
Abstract
Stock market prices, economic indices, trends and changes of social phenomena, etc. are categorized as time series data. Research on time series data has been prevalent for a while as it could not only lead to valuable representation of data but also provide future trends as well as changes in direction. We take a conventional model based approach, known as Markov chain modeling for the prediction on stock market prices. To improve prediction accuracy, we apply Markov modeling over carefully selected intervals of training data to fit the trend under consideration to the model. Another method we take is to apply clustering to data and build models of the resultant clusters. We confirmed that clustered models are better off in predicting, however, with the loss of prediction rate.
Keywords
time series; Makov model; Prediction model;
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Times Cited By KSCI : 3  (Citation Analysis)
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