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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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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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Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data
Guidolin, Massimo; Hyde, Stuart - 2012
market states. This paper examines whether and how simple VARs can produce portfolio rules similar to those obtained under a …
Persistent link: https://www.econbiz.de/10009658243
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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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Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors
Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29
Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...
Persistent link: https://www.econbiz.de/10012520275
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Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
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Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza; Demos, Guilherme; Gupta, Rangan; … - In: Quantitative finance 19 (2019) 5, pp. 843-858
Persistent link: https://www.econbiz.de/10012194719