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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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Analyst's stock views and revision actions
Li, Tao - In: Finance research letters 44 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014494726
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Seven pitfalls of technical analysis
Caporale, Guglielmo Maria; Plastun, Alex - 2023
This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...
Persistent link: https://www.econbiz.de/10013489574
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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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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas (contributor) - 2006
-switching multifractal model in Calvet and Fisher (2001) which allows for estimation of its parameters via maximum likelihood and Bayesian …
Persistent link: https://www.econbiz.de/10003392192
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A Markov-switching multifractal approach to forecasting realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...
Persistent link: https://www.econbiz.de/10009314521