Comparison of weighted Markov chain and fuzzy time series Markov chain in forecasting stock closing price of company X

R. A. Kafi, Y. R. Safitri, Y. Widyaningsih, B. D. Handari

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The stock is one of the most popular financial market instruments. For various purposes, many methods have been used to forecast stock price in the future. The purpose of this paper is to compare the Weighted Markov Chain (WMC) method and the Fuzzy Time Series Markov Chain (FTS-MC) method in forecasting the stock closing price in the future. The basic idea of both methods is to forecast the possibility of future stock prices based on the historical data of stock prices in the past. Nevertheless, both methods have a different approach in transforming the value of stock prices to the range of the random variables (the states). This paper considered the daily stock closing prices data of company X in Indonesia from January 2, 2017 to December 29, 2017. The accuracy of both methods is verified by using the Mean Absolute Percentage Error (MAPE). The result shows that the Fuzzy Time Series Markov Chain has smaller MAPE of 1.7404%.

Original languageEnglish
Title of host publicationProceedings of the 4th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2018
EditorsTerry Mart, Djoko Triyono, Ivandini T. Anggraningrum
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735419155
DOIs
Publication statusPublished - 4 Nov 2019
Event4th International Symposium on Current Progress in Mathematics and Sciences 2018, ISCPMS 2018 - Depok, Indonesia
Duration: 30 Oct 201831 Oct 2018

Publication series

NameAIP Conference Proceedings
Volume2168
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference4th International Symposium on Current Progress in Mathematics and Sciences 2018, ISCPMS 2018
CountryIndonesia
CityDepok
Period30/10/1831/10/18

Keywords

  • Fuzzy Time Series Markov Chain (FTS-MC)
  • MAPE
  • stock price
  • Weighted Markov Chain (WMC)

Fingerprint Dive into the research topics of 'Comparison of weighted Markov chain and fuzzy time series Markov chain in forecasting stock closing price of company X'. Together they form a unique fingerprint.

  • Cite this

    Kafi, R. A., Safitri, Y. R., Widyaningsih, Y., & Handari, B. D. (2019). Comparison of weighted Markov chain and fuzzy time series Markov chain in forecasting stock closing price of company X. In T. Mart, D. Triyono, & I. T. Anggraningrum (Eds.), Proceedings of the 4th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2018 [020033] (AIP Conference Proceedings; Vol. 2168). American Institute of Physics Inc.. https://doi.org/10.1063/1.5132460