Original scientific paper

MODELLING STOCK RETURNS ON ZAGREB STOCK EXCHANGE BY USING MARKOV CHAINS

Tihana Škrinjarić
Vedran Kojić

Abstract

This paper illustrates the application of the Markov chains methodology in predicting stock returns on Zagreb Stock Exchange. Comparing with other mathematical and econometric tools, the Markov chains methodology is a simple and nonparametric methodology which has still not been researched enough in problems of stock returns modeling. The main aim of this paper is introducing this methodology into domestic literature and giving new ideas for the future researches.

Keywords

Markov chains; stock market; Zagreb Stock Exchange; stock returns

Hrčak ID:

124940

URI

https://hrcak.srce.hr/124940

Publication date:

11.7.2014.

Article data in other languages: croatian

Visits: 2.024 *