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Hidden Markov model for stock trading
Nguyen, Nguyet - In: International Journal of Financial Studies : open … 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/10011883487
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Hidden Markov model for stock selection
Nguyen, Nguyet; Nguyen, Dung - In: Risks : open access journal 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/10011402656
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Are CDS spreads predictable? : an analysis of linear and non-linear forecasting models
Avino, Davide; Nneji, Ogonna - In: International review of financial analysis 34 (2014), pp. 262-274
Persistent link: https://www.econbiz.de/10010529033
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Stock returns and valuation ratios at sector level in South Africa : the regime-switch modelling approach
Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Global business review 26 (2025) 1, pp. 69-84
Persistent link: https://www.econbiz.de/10015329850
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Technical analysis profitability and Persistence : a discrete false discovery approach on MSCI indices
Sermpinis, Georgios; Hassanniakalager, Arman; … - In: Journal of international financial markets, … 73 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012802162
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10012180543
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Switching between chartists and fundamentalists : a Markov regime-switching approach
Vigfusson, Robert J. - In: International journal of finance & economics : IJFE 2 (1997) 4, pp. 291-305
Persistent link: https://www.econbiz.de/10001338173
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Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index
Bildirici, Melike - 2012
The study analyzes the family of regime switching GARCH neural network models, which allow the generalization of MS type RS-GARCH models to MS-GARCH-NN models by incorparating with neural network architectures with different dynamics and forecasting capabilities both in addition to the family of...
Persistent link: https://www.econbiz.de/10013103071
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The Dynamic Analysis and Prediction of Stock Markets through the Latent Markov Model
De Angelis, Luca - 2009
In this paper we show how the latent Markov model can be used to define different conditions in the stock market, called market-regimes. Changes in regimes can be used to detect financial crises, pinpoint the end of a crisis and predict future developments in the stock market, to some degree....
Persistent link: https://www.econbiz.de/10013156577
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Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471
Persistent link: https://www.econbiz.de/10015144246