09/05/2019
HIGH-ORDER MULTIVARIATE MARKOV CHAIN APPLIED IN DOW JONES AND IBOVESPA INDEXES
ABSTRACT In this paper we analyzed the probabilities of transitions of state between Ibovespa and Dow Jones indexes using High-order Multivariate Markov Chain. While the stock market may be profitable, the existence of risks can lead to large losses. A mathematical model capable of considering different sources can aid in decision making. This model can work with stochastic data, causing different databases to be transformed into transitional matrices between states. For this, a set of a daily variation data were used between January 2008 and March 2018. Through this application, it was possib...
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