markov-chain

Calculate the probability of the next transition state using Markov Chains.

Demo

https://lab.miguelmota.com/markov-chain

Install

npm install markov-chain

bower install markov-chain

Usage

In this example, we calculate the probability of the next state for bull, bear, and stagnant markets.

State diagram from Wikipedia

var MarkovChain = require('markov-chain');

var markovChain = MarkovChain();

markovChain.setInitialStateVector([0, 1, 0]); // bull, bear, stagnant
markovChain.setTransitionMatrix([
  [0.9, 0.075, 0.025],
  [0.15, 0.8, 0.05],
  [0.25, 0.25, 0.5]
]);

console.log(markovChain.nextStateProbability()); // [0.15, 0.8, 0.05]
console.log(markovChain.nextStateProbability()); // [0.2675, 0.6637500000000001, 0.06875]
console.log(markovChain.nextStateProbability()); // [0.35750000000000004, 0.56825, 0.07425000000000001]
console.log(markovChain.getIterationsCount()); // 3
console.log(markovChain.getCurrentStateVector()); // [0.35750000000000004, 0.56825, 0.07425000000000001]

console.log(markovChain.probabilityAtState(2)); // [0.2675, 0.6637500000000001, 0.06875]
console.log(markovChain.getIterationsCount()); // 2

License

MIT