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Using the First Passage Times in Markov Chain Model to Support Financial Decisions on the Stock Exchange

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dc.contributor.author Stawicki, Józef
dc.date.accessioned 2017-04-18T12:00:40Z
dc.date.available 2017-04-18T12:00:40Z
dc.date.issued 2016-12-28
dc.identifier.citation Dynamic Econometric Models, No. 1, Vol. 16, pp. 37-47
dc.identifier.issn 2450-7067
dc.identifier.other doi:10.12775/DEM.2016.003
dc.identifier.uri http://repozytorium.umk.pl/handle/item/4160
dc.description.abstract The purpose of this article is to present the possibilities of using such a tool as Markov Chain to analyse the dynamics of returns observed at the Warsaw Stock Exchange. Process analysis is the basis for decision-making with regard to the accepted horizon. Expected times for achieving specified states, understood as intervals of rates of return, in particular those describing negative rates of return, are extremely important. In this context, there is a possibility of determining easily the value at risk with the accepted probability.
dc.language.iso eng
dc.rights Attribution-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject Markov Chain
dc.subject First passage times
dc.subject Normal white noise
dc.subject VaR.
dc.title Using the First Passage Times in Markov Chain Model to Support Financial Decisions on the Stock Exchange
dc.type info:eu-repo/semantics/article


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