Intelligent forecasts and evaluation of financial risk assets based on Grey Markov chain model

Issue title: Special Section: Applications of intelligent & fuzzy theory in engineering technologies and applied science

Guest editors: Stanley Lima and Álvaro Rocha

Article type: Research Article

Authors: Yin, Zongyi^{a; b} | Luo, Xi^{a; b} | Fang, Su^{c; *} | Guo, Xinyao^b

Affiliations: [a] School of Management, China Research Center for Emergency Management, Wuhan University of Technology, Wuhan, China | [b] Hubei Collaborative Innovation Center for Early Warning and Emergency Response Technology, Wuhan, China | [c] School of International Education, Wuhan University of Technology, Wuhan, China

Correspondence: [*] Corresponding author. Su Fang, School of International Education, Wuhan University of Technology, Wuhan, China. E-mail: sufang419@163.com.

Abstract: In order to analyze the change trend in risk financial assets of the retail business, this paper which is combined with the advantages of grey prediction system and Markov chain, establishes the “grey differential-Markov chain” intelligent prediction and evaluation model according to business characteristics. Meanwhile, the modeling steps are introduced, and the solution methods, model validation results, model prediction and evaluation methods are introduced in detail through specific cases. Through specific analysis, this paper aims to show that the model has high prediction accuracy and wide application value in the field of financial retail business.

Keywords: Grey model, Markov chain, state transition probability, risk asset ratio

DOI: 10.3233/JIFS-169619

Journal: Journal of Intelligent & Fuzzy Systems, vol. 35, no. 3, pp. 2679-2684, 2018