Forecasting Change Directions for Financial Time Series Using Hidden Markov Model.
Sang Ho ParkJu-Hong LeeJae-Won SongTae-Su ParkPublished in: RSKT (2009)
Keyphrases
- hidden markov models
- financial time series
- financial time series forecasting
- stock market
- exchange rate
- non stationary
- financial data
- stock price
- turning points
- speech recognition
- viterbi algorithm
- multivariate time series
- continuous hidden markov models
- sequential data
- multi stream
- handwritten word recognition
- hierarchical hidden markov model
- data mining
- hidden state
- hidden states
- text classification
- conditional random fields
- feature extraction
- machine learning