This paper analyzes the rate of return on gold bar investment with the Discrete-Time Markov Chains. The input data are from January 1, 2014 to April 9, 2016. Our objective is to determine the selling and buying prices that yield the highest annual rate of return. We recommend buying gold bars when the buying price hits 17,900 Baht/1 Baht gold and when the selling price is higher than 18,300 Baht/1 Baht gold, resulting in the annual return rate of 204% per year. In addition, if gold bars can be bought at the price lower than 20,750 Baht/1 Baht gold, the return rate can be at least 0.61% higher than a bank time deposits account with 3% interest rate.
Keywords : Gold bar investment, Discrete-time Markov chains, Forecasting