QUIZ_STOCHASTIC

Closing price fluctuation can be categorized into three states, namely downtrend, unchanged, and uptrend which can be labelled as 0, 1 and 2 respectively. Assume this process only depends on current position (today) not on the past positions in predicting its future position (tomorrow). Its state transition probability to remain in state 0 is 0.1 while to move to state 1 or state 2 are equally likely. The state transition probability from state 0 to state 2 is

• 0.45

• None of the above

• 0.33

• 0.9

The following state transition probability matrix indicates that the discrete time Markov chain is 

• None of the above

• finite, reducible and periodic with period 2.

• finite, irreducible and periodic with period 2

• finite, irreducible and aperiodic

The following stochastic matrix indicates that the discrete time Markov chain is 

• recurrent and periodic.

• recurrent and aperiodic.

• None of the above

• transient and aperiodic.

The summation row of the embedded discrete time Markov chain for matrix P should be equal to 1.

• TRUE

• FALSE

B(t) is a special case of continuous time Markov chain. B(t) can be classified as a continuous time and continuous value stochastic process

• TRUE

• FALSE

Which of the following discrete time Markov chain does not have limiting probabilities.

• 
• 
•