Financial Risk Modeling with Markov Chains.

Arturo Leccadito Sergio Ortobelli Lozza Emilio Russo Gaetano Iaquinta

Published in: IDEAL (2006)

Keyphrases

markov chain
steady state
financial risk
finite state
markov process
state space
transition probabilities
markov processes
stationary distribution
random walk
markov model
probabilistic automata
stochastic process
transition matrix
long term
machine learning