Parallel MCMC sampling of AR-HMMs for prediction based option trading.
I. Róbert SiposAttila CefferGábor HorváthJános LevendovszkyPublished in: Algorithmic Finance (2019)
Keyphrases
- markov chain monte carlo
- monte carlo
- hidden markov models
- prediction accuracy
- sampling algorithm
- augmented reality
- metropolis hastings
- importance sampling
- markov chain
- generative model
- prediction error
- prediction algorithm
- posterior distribution
- prediction model
- random sampling
- parallel implementation
- parallel processing
- markov chain monte carlo sampling
- bayesian inference
- parallel computing
- posterior probability
- speech recognition
- electronic commerce
- sampling strategy