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Time Series Forecasting Using Markov Chain Probability Transition Matrix with Genetic Algorithm Optimisation

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Modeling, Simulation and Optimization

Part of the book series: Smart Innovation, Systems and Technologies ((SIST,volume 206))

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Abstract

In this paper we are going to discuss the prediction of the financial time series using the Markov chain changing transition matrix model using genetic algorithm. During initial phase of the algorithm we will create the window of fix size with fixed number of state. The basic aim of this paper is to reduce the time taken to find the best window size and best number of states in the window by using the genetic algorithm. This paper produce the approach so that investor can save their time to predict the series without manual activity. To demonstrate the genetic algorithm optimisation we used the historical index data: national stock exchange(NSE50). The Nifty data contained 1239 candles starting from January 1,2015 and ending December 31, 2019. Data was downloaded from [https://www1.nseindia.com/]. In this case we observed the better investment strategy using the first order Markov chain model and reducing the execution time by using the genetic algorithm.

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Authors and Affiliations

  1. National Institute of Technology, Surathkal, Karnataka, India

    Gurdeep Saini, Naveen Yadav, Biju R. Mohan & Nagaraj Naik

Authors
  1. Gurdeep Saini
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  2. Naveen Yadav
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  3. Biju R. Mohan
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  4. Nagaraj Naik
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Corresponding author

Correspondence to Gurdeep Saini .

Editor information

Editors and Affiliations

  1. Department of Mechanical Engineering, National Institute of Technology, Silchar, Assam, India

    Biplab Das

  2. Department of Computer Science and Engineering, National Institute of Technology Silchar, Silchar, Assam, India

    Ripon Patgiri

  3. National Institute of Technology Silchar, Silchar, India

    Sivaji Bandyopadhyay

  4. Aurel Vlaicu University of Arad, Arad, Romania

    Valentina Emilia Balas

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© 2021 The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.

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Saini, G., Yadav, N., Mohan, B.R., Naik, N. (2021). Time Series Forecasting Using Markov Chain Probability Transition Matrix with Genetic Algorithm Optimisation. In: Das, B., Patgiri, R., Bandyopadhyay, S., Balas, V.E. (eds) Modeling, Simulation and Optimization. Smart Innovation, Systems and Technologies, vol 206. Springer, Singapore. https://doi.org/10.1007/978-981-15-9829-6_34

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