Clustering financial time series: New insights from an extended hidden Markov model.
José G. DiasJeroen K. VermuntSofia RamosPublished in: Eur. J. Oper. Res. (2015)
Keyphrases
- hidden markov models
- financial time series
- stock market
- multivariate time series
- sequential data
- clustering algorithm
- k means
- clustering method
- speech recognition
- hidden states
- hidden state
- non stationary
- conditional random fields
- outlier detection
- viterbi algorithm
- financial data
- categorical data
- exchange rate
- unsupervised learning
- hierarchical hidden markov model
- cluster analysis
- short term
- image classification
- graphical models
- markov random field