Research method
Transition matrix
Transition matrix is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The graph1
How the method is built, and where it has been read
Depends on
Often reviewed together
Chi-square test4 readings
Read in the archive6 readings
1985A serial-dependence window from signed price transitions1986Chi-square tests on price transition matrices1987Evaluating money-supply serial dependence before a forecast1988Evaluating stationarity, randomness, and dependence in an index series1993Constructing price-change Markov transition matrices1995Collapse correlated inputs via a joint-state chi-square sequence
This registry entry describes a research method. It is not investment advice and does not make a performance claim.