Description

• Title:
  Using the First Passage Times in Markov Chain Model to Support Financial Decisions on the Stock Exchange
• Creator:
  Stawicki, Józef
• Description:
  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.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2016 Dynamic Econometric Models
• Date:
  2016.12.28
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 16 (2016); 37-47;
  Dynamic Econometric Models; Tom 16 (2016); 37-47;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2016.003/10666
• Subject:
  Markov Chain;
  First passage times;
  Normal white noise;
  VaR.
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2016.003
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text