State switching prediction method and system based on Markov state transition model

Abstract

The invention discloses a state switching prediction method and system based on a Markov state transition model. The method comprises the steps that a time sequence data stream is obtained, a time sequence of a financial data stream is filtered based on a prediction cycle, the autoregression Markov state transition model is established, a conditional probability density function of all variables is solved, Gibbs sampling is carried out to adjust the model, parameters and a state sequence of the model are estimated, the state transition probability is estimated according to the state sequence, and the current state is estimated and market expectation is predicted accordingly. According to the state switching prediction method and system based on the Markov state transition model, a large amount of invalid information in data is removed by filtering the time sequence, a style switching predicting cycle is better matched with a data cycle, different states are fit with different models, state sequence estimation and state transition probability estimation are divided into two steps, the Gibbs sampling method is used for carrying out estimation, the calculation complexity is lowered, responding delay is reduced, and data mining and analyzing can be reasonably, effectively and quickly carried out on the financial data stream.

Description

technical field [0001] The invention belongs to the technical field of data mining, and in particular relates to a state transition prediction method and system based on a Markov state transition model. Background technique [0002] With the advent of the era of big data, data mining and its related technologies have received more and more attention. Data mining related technologies have made considerable progress, and the use of various data mining technologies has strengthened people's ability to analyze and process massive data resources. Data mining refers to the analysis of data sources in a certain way, from which some potentially useful information can be found, so that the connections and laws in the data can be found out, and the future trend of change can be pointed out according to the existing data. The scope of application of data mining is also becoming wider and wider. For example, e-commerce companies analyze the data of consumers’ visits and shopping record...

AI Technical Summary

Problems solved by technology

[0004] Aiming at the problems that a large amount of interference information contained in the time series of the current financial data flow affects the model acquisition and state judgment, the calculation complexity of the maximum likelihood estimation is high, and the model adjustment is difficult to achieve, the present invention provides a Markov-based The state transition prediction method and system of the state transition model, through which the data mining and analysis of the financial data flow can be carried out scientifically, reasonably, effectively and quickly

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