Pattern recognition using hidden Markov models in financial time series

DOI10.12697/ACUTM.2017.21.02zbMATH Open1417.91574OpenAlexW2729110484MaRDI QIDQ4978320FDOQ4978320

Authors: Sara Rebagliati, Emanuela Sasso 

Publication date: 10 August 2017

Published in: Acta et Commentationes Universitatis Tartuensis de Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12697/acutm.2017.21.02

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zbMATH Keywords

hidden Markov modelspattern recognitionfinancial time seriesautomated trading system

Mathematics Subject Classification ID

Pattern recognition, speech recognition (68T10) Actuarial science and mathematical finance (91G99)

Cited In (4)

• Hidden Markov models for financial optimization problems
• Parallel MCMC sampling of AR-HMMs for prediction based option trading
• Improved hidden Markov model and its application in financial forecasting
• Multi-classifier based on Elliott wave's recognition

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