Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50
DOI10.1007/S10690-019-09285-1zbMATH Open1437.91422OpenAlexW2978850993WikidataQ127191310 ScholiaQ127191310MaRDI QIDQ2180280FDOQ2180280
Authors: Polin Wu, Wasin Siwasarit 
Publication date: 13 May 2020
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-019-09285-1
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Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
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