S.Ya. Krivolapov1

1 Financial University under the Government of the Russian Federation (Moscow, Russia)

1 skrivolapov@fa.ru

A sample of the log yield values of the shares of a Russian company is considered. The problem of estimating the average time required to achieve a given final value of log profitability, with a known initial value, is solved. To solve the problem: a Markov chain is constructed from the enlarged states of the time series; the probabilities of transition of the Markov chain are estimated from a sample; the average time of achievement is calculated from the matrix of transition probabilities. The practical implementation of the algorithm is carried out by means of the Python programming language.

Krivolapov S.Ya. Markov chains in the task of predicting the values of a time series. Information-measuring and Control Systems. 2023. V. 21. № 6. P. 48−54. DOI: https://doi.org/10.18127/j20700814-202306-06 (in Russian)

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