Stylized facts of financial time series and hidden semi-Markov models.
Jan BullaIngo BullaPublished in: Comput. Stat. Data Anal. (2006)
Keyphrases
- financial time series
- hidden semi markov models
- stock market
- financial time series forecasting
- abnormality detection
- semi markov
- turning points
- financial data
- non stationary
- exchange rate
- stock price
- hidden markov models
- knowledge base
- multivariate time series
- anomaly detection
- information extraction
- supervisory control
- real time
- high speed
- dynamic programming