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

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