Publicação
The profitability in the FTSE 100 Index: A new Markov Chain approach
| dc.contributor.author | Riedlinger, Flavio Ivo | |
| dc.contributor.author | Nicolau, João | |
| dc.date.accessioned | 2023-03-24T09:23:55Z | |
| dc.date.available | 2023-03-24T09:23:55Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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) | pt_PT |
| dc.identifier.doi | 10.1007/s10690-019-09282-4 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27503 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Springer Nature | pt_PT |
| dc.subject | Stock Market | pt_PT |
| dc.subject | FTSE 100 Index | pt_PT |
| dc.subject | Multivariate Markov Chain | pt_PT |
| dc.title | The profitability in the FTSE 100 Index: A new Markov Chain approach | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |