Schiavi, Eddie (A.A. 2023/2024) Stochastic processes in financial markets: analyzing Markov chains and random walks for stock price predictions. Tesi di Laurea in Gambling: probability and decision, Luiss Guido Carli, relatore Hlafo Alfie Mimun, pp. 50. [Bachelor's Degree Thesis]

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Abstract/Index

Introduction to Markov chains. Definition and basic properties. Markov property and time homogeneity. Transition matrix. Stationary distribution. Hitting time and number of visits. Definitions of transience and recurrence. Irreducibility, periodicity and mixing properties. Definition of irreducibility and periodicity. Recurrence and irreducibility. Ergodic theorem. Mixing times and separation distance. Strong stationary time. Time reversal and reversible Markov chains. Condition for reversibility. Random walk. One dimensional simple random walks. Useful theorems. The application of random walk theory in the stock market. Empirical evidence supporting random walk theory. Challenges to technical and fundamental analysis. Practical implications for investors.

References

Bibliografia: pp. 41-42.

Thesis Type:	Bachelor's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33)
Chair:	Gambling: probability and decision
Thesis Supervisor:	Mimun, Hlafo Alfie
Academic Year:	2023/2024
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	13 Nov 2024 13:20
Last Modified:	13 Nov 2024 13:20
URI:	https://tesi.luiss.it/id/eprint/40376

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