stock market turning point predict matlab code

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1、U.U.D.M.ProjectReport2009:20PredictingTurningPointsJónÁrniTraustasonExamensarbeteimatematik,30hpHandledareochexaminator:JohanTyskSeptember2009DepartmentofMathematicsUppsalaUniversityAbstractThepaperinvestigateswhethermacroeconomicvariablescanpredictturningpointsinthestockmarketwherethefocusisse

2、tonapplyingthemasapredictingvariableinaHiddenMarkovModel(HMM).Thesampleofpredictingvariablesconsistsof:theyieldcurve,thePurchasingManagerIndex(PMI),historicalstockreturns,theVIXindex,ination,housingstarts,vehiclesalesandtotalproduction.ThemodelofchoiceistheMarkovBayesianClassier,MBC,introduce

3、dbyKoskinenandÖllerbuthereweintroduceasuitableoptimizationalgorithmwhichmakesapplyingthemodelinseveraldimensionsplausible.TheMBCdoesdependonpredenedturningpointsandseveraldenitionsofturningpointsaresuggestedandtested,bothconsideringthelongandtheshorttermview.Aftersuitabledenitionshavebeensor

4、tedoutthepredictionpowerofthemodelistestedaswellasifthepredictioncanbeusedinsimpleinvestmentstrategieswithprot.Contents1Introduction51.1DeningaTurningPoint.......................61.1.1AdjustmentsintheShortRun...............71.1.2AdjustmentsintheLongRun................71.1.3DenitionOverview..

5、...................81.2Disposition..............................92TheModel102.1MarkovChains............................102.2HiddenMarkovModel........................112.3MarkovBayesianClassier.....................122.4TheAlgorithm............................132.5Thecostfunction................

6、...........143Estimation153.1Smoothing...............................153.2OptimizationMethod........................153.2.1Optimality..........................173.3VerifyingtheAssumptions......................183.4TheData...............................184EstimationResults204.1In-SampleAdjusment

7、sandResults.................204.1.1DenitionComparison....................204.1.2Lead..............................224.1.3ChoosingtheSample.....................234.1.4TheTransitionProbabilitiesandtheSmoothingParameters244.1.5Dier