Generative-discriminative machine learning models for high-frequency financial regime classification

DOI10.1007/S11009-025-10148-8MaRDI QIDQ6992022zbMATH OpenFDO

Authors Andreas Koukorinis, Gareth W. Peters, Guido Germano

Publication date 28 April 2025

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11009-025-10148-8

zbMATH Keywords

hidden Markov modelkernel methodssupport vector machineFisher informationhigh-frequency financial regime

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Learning and adaptive systems in artificial intelligence (68T05) Financial markets (91G15)

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Cited in

(1)

• Structural changes and statistical causal relationships in agricultural commodities markets: the impact of public news sentiment and institutional announcements

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