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The profitability in the FTSE 100 Index: A new Markov Chain approach
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Autores
Orientador(es)
Resumo(s)
In this paper, we propose a new method to predict stock market trends based on the multivariate Markov chain (MMC) methodology. Our approach consists of forecasting the one-period ahead FTSE 100 Index behavior, using the MTD-Probit model. The MTD-Probit model is a new approach for estimating MMC, based on multiple categorical data sequences that can be used to forecast financial markets. In this context, we propose a simple trading strategy and analyze its profitability using the White “Reality Check” and the Hansen SPA data snooping bias tests. Our empirical results suggest that the MTD-Probit model applied to the FTSE 100 Index cannot significantly out-perform the buy-and-hold benchmark after data-snooping is controlled.
Descrição
Palavras-chave
Stock Market FTSE 100 Index Multivariate Markov Chain
Contexto Educativo
Citação
Riedlinger , Flavio Ivo and João Nicolau .(2020). “The profitability in the FTSE 100 Index: A new Markov Chain approach”. Asia-Pacifc Financial Markets, Vol. 27: pp. 61–81. (Search PDF in 2023)
Editora
Springer Nature