Graphical model based on the Markov switch regime with application to security market

CAI Feng-jing;LI Zhe;LI Yuan

Systems Engineering - Theory & Practice ›› 2011, Vol. 31 ›› Issue (5) : 881-888.

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PDF(786 KB)
Systems Engineering - Theory & Practice ›› 2011, Vol. 31 ›› Issue (5) : 881-888. DOI: 10.12011/1000-6788(2011)5-881
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Graphical model based on the Markov switch regime with application to security market

  • CAI Feng-jing1, LI Zhe2, LI Yuan3
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Abstract

The Markov switch regime model for the structures of graphs is introduced and the algorithm by the Markov chain Monte Carlo method is proposed. The graphical model is applied to the stock market of Shanghai in China to study the conditional dynamic relativities of five segments of the market, Empirical results show that the two states reflect high and low conditional correlation and the persistent probability of states is comparatively large.

Key words

graphical model / Bayes / Markov switch regime

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CAI Feng-jing , LI Zhe , LI Yuan. Graphical model based on the Markov switch regime with application to security market. Systems Engineering - Theory & Practice, 2011, 31(5): 881-888 https://doi.org/10.12011/1000-6788(2011)5-881
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