Questions tagged [hidden-markov-model]

sequential data analysis using state space models with discrete latent variables and discrete or continuous observed variables

Filter by
Sorted by
Tagged with
2
votes
0answers
193 views

Hidden Markov Models for Higher frequency trading

I'm curious if anyone can validate my train of thought here with the utility of Hidden Markov models for modeling things happening on higher frequency trading activity versus lower frequency, and in ...
1
vote
1answer
84 views

When predicting Forex price using HMM what, typically, are the states and what are the observations?

I understand their abstract definition but having trouble applying the HMM method to Forex prices. What should the observations be? Then what should the states be (like "hot", "cold", etc.)?
4
votes
1answer
1k views

MSGARCH package on R

I am using the MSGARCH package on R to fit a Markov switching GARCH model. I fit the GARCH model using fit.MLE (so standard Maximum Likelihood), using three regimes. The parameters are estimated and ...
7
votes
1answer
778 views

James Simons (Renaissance Technologies Corp.) and his model [closed]

I think some of you know the famous billionaire mathematician James Simons. Somewhat as Warren Buffet, this guy cracked the Wall Street with a mathematical model (essentially most statistic and a bit ...
0
votes
2answers
533 views

Asset allocation problem using Hidden Markov Model

I am recently getting more interested in Hidden Markov Models (HMM) and its application on financial assets to understand their behavior. But what captured my attention the most is the use of asset ...
0
votes
2answers
85 views

Regime switching model getting data

I am trying to find a dataset (oil prices, S&P index, DAX returns etc.) in order to visualize the high volatility and low volatility periods in a plot. So far, I have not found a dataset that has ...
2
votes
1answer
995 views

predict next day's close price using hmm

I am reading this paper(Stock market forecasting using hidden Markov model: a new approach) and get confused about how they predict the next day's close price. Below is what the authors say about how ...
3
votes
2answers
393 views

Kalman filtering

Is it possible to the extract the latent factor f from the following equations using kalman smoothing? f is the unobserved state value while z is observed series. From the literature i could read ...
1
vote
0answers
233 views

modeling regime switching for Correlation matrix

I am trying to estimate covariance in multiple time series. However, I want to do this using a regime-switching framework. So, I start with fitting a GARCH(1,1) model and then de-volatalize the series....
7
votes
2answers
811 views

Hidden Markov Models methods for selecting optimal number of states

Package RHmm (R) I have a vector which I fit into a hmm model in an attempt to select an optimal number of states for a hidden markov model. ...
3
votes
0answers
202 views

Markov switching model estimation

We are testing Markov switching models to forecast risk regimes, similar to the paper by Kritzman, Page and Turkington. We find that in some cases the Baum-Welch algorithm converges very slowly or not ...
8
votes
1answer
800 views

Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians

I want to solve the following optimization problem: What is the optimal general trading strategy (in the sense of the highest Sharpe ratio) on a time series which is the result of a Hidden Markov ...