fHMM

Fitting Hidden Markov Models to Financial Data

Rouven Michels, Lennart Oelschläger, Timo Adam

Last update: 24 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.1.0, 0.1.0, 0.2.0, 0.3.0, 1.0.0, 1.0.1, 1.0.2, 1.0.3, 1.1.1, 1.2.0, 1.2.1, 1.2.2

Description

Fitting (hierarchical) hidden Markov models to financial data via maximum likelihood estimation. See Oelschläger, L. and Adam, T. "Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models" (2021, Statistical Modelling) <doi:10.1177/1471082X211034048> for a reference.

Cites work

Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models

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