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Prediction of Stock Price Index with Hidden Markov Model
HE Fengxia *,HUANG Jingfeng #
School of Mathematics and Fhysics, North China Electric Power University, Beijing 102206
*Correspondence author
#Submitted by
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Funding: none
Opened online:15 April 2016
Accepted by: none
Citation: HE Fengxia,HUANG Jingfeng.Prediction of Stock Price Index with Hidden Markov Model[OL]. [15 April 2016] http://en.paper.edu.cn/en_releasepaper/content/4683378
 
 
The change law of the stock price which is affected by lots of stochastic interference factors is filled with complex nonlinearity and randomicity. Therefore, predicting the stock price accurately is of great research significance. This paper concerns the closing price of S&P 500 index as the research object and the status quo and characteristics of the S&P 500 index is analyzed. A new prediction method on the basis of continuous hidden Markov model with the combination of K-Means clustering algorithm is established. The proposed prediction method for the stock price index has more certain validity and feasibility compared with the Autoregressive Integrated Moving Average Model(ARIMA) in the time series.
Keywords:Stochastic process; Hidden Markov model; The stock price index; Prediction;
 
 
 

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