There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the ubiquitous Hidden Markov Model for learning from sequential and time-series data. However, in many settings the HDP-HMM's strict Markovian constraints...

Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...