Abstract:
The paper considers the structural graph model of the stock market – digraph, each vertex of which is one of the possible states of the stock market, and weighted arcs represent the transition of the stock market from one state to another. Weight of the arc represents a measure of the “possibility” of such a transition. As a measure the transition frequency is used as the estimation of the corresponding probability.
Keywords:stock market, graph-structural methods, quoted price fractional variation, price gap relative value, tuple of binary variables, sliding window of specified length, type structure of the stock market, transition probability matrix, matrix of transition frequencies.
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