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Comparison of Stochastic Models for Stock Market

P. Arumugam, S.R. Siva Ambika


Three different models are discussed to forecasting stock market data. Hidden Markov Models (HMM) with clustering algorithm is used for finding the behavior of stock prices. The weighted average method, Takagi – Sugeno model and Auto Regression Integrated Moving Average Model (ARIMA) are used to forecast. Finally, the forecasting values are compared.

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