Pairwise Markov models for stock index forecasting.
Ivan GoryninEmmanuel MonfriniWojciech PieczynskiPublished in: EUSIPCO (2017)
Keyphrases
- markov models
- stock index
- pairwise
- stock market
- empirical analysis
- higher order
- garch model
- stock exchange
- portfolio management
- financial markets
- conditional random fields
- trading systems
- markov model
- stock price
- hidden markov models
- maximum entropy
- markov random field
- empirical studies
- financial time series
- similarity measure
- short term
- theoretical analysis
- portfolio selection
- multivariate time series
- long term
- risk management
- sar images
- financial data
- portfolio optimization
- semi supervised
- state space
- dynamic programming