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An analysis and implementation of the hidden Markov model to technology stock prediction
Nguyen, Nguyet - In: Risks 5 (2017) 4, pp. 1-16
, based on their historical data. We first use the Akaike information criterion (AIC) and Bayesian information criterion (BIC … single observation data and multiple observation data. Finally, we use the predictions as signals for trading these stocks … the Hidden Markov Model, (HMM), to predict a daily stock price of three active trading stocks: Apple, Google, and Facebook …
Persistent link: https://www.econbiz.de/10011996557
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Hidden Markov model for stock trading
Nguyen, Nguyet - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-17
regimes and stock prices. In this paper, we introduce the application ofHMMin trading stocks (with S&P 500 index being an … example) based on the stock price predictions. The procedure starts by using four criteria, including the Akaike information … determine an optimal number of states for the HMM. The selected four-state HMM is then used to predict monthly closing prices of …
Persistent link: https://www.econbiz.de/10011996122
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Variable selection and discrimination in gene expression data by genetic algorithms
Krause, Rüdiger; Tutz, Gerhard - 2004
selection procedure aims at minimizing information criteria like AIC or BIC. It is demonstrated that selection of variables by …
Persistent link: https://www.econbiz.de/10010266252
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A latent class analysis on the usage of mobile phones among management students
Kumar, Sunil; Dabgotra, Apurba Vishal - In: Statistics in Transition New Series 22 (2021) 1, pp. 89-114
In the past few years, wireless devices, including pocket PCs, pagers, mobile phones, etc, have gained popularity among a variety of users across the world and the use of mobile phones in particular, has increased significantly in many parts of the world, especially in India. Cell phones are now...
Persistent link: https://www.econbiz.de/10012600281
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CRIX or evaluating blockchain based currencies
Trimborn, Simon; Härdle, Wolfgang Karl - 2016
liquidity changes very frequently. A method relying on the AIC is proposed to quickly react to market changes and therefore …
Persistent link: https://www.econbiz.de/10011531897
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A first econometric analysis of the CRIX family
Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; … - 2016
The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact...
Persistent link: https://www.econbiz.de/10011580429
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The cross-section of crypto-currencies as financial assets: An overview
Elendner, Hermann; Trimborn, Simon; Ong, Bobby; Lee, … - 2016
generate value and their trading and information platforms. Then we investigate crypto-currencies as alternative investment …
Persistent link: https://www.econbiz.de/10011580436
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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...
Persistent link: https://www.econbiz.de/10010323727
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Hidden Markov model for stock selection
Nguyen, Nguyet; Nguyen, Dung - In: Risks 3 (2015) 4, pp. 455-473
financial market predictions. In this paper, we use HMM for stock selection. We first use HMM to make monthly regime predictions …
Persistent link: https://www.econbiz.de/10011709535
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Expectation driven business cycles with limited enforcement
Walentin, Karl - 2009
We explore the implications of shocks to expected future productivity in a setting with limited enforcement of financial contracts. As in Lorenzoni andWalentin (2007) optimal financial contracts under limited enforcement imply that to obtain external finance firms have to post collateral in...
Persistent link: https://www.econbiz.de/10010320759