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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

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

Global stock selection with hidden Markov model

Nguyen, Nguyet; Nguyen, Dung - In: Risks : open access journal 9 (2021) 1/9, pp. 1-18

Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five important factors of a stock are identified and...

Persistent link: https://www.econbiz.de/10012422925

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

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

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

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

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

Developing a regime-switching present value model : switching fundamentals and bubbles

Kim, Jan R.; Cho, Sung-jin - In: International economic journal 36 (2022) 4, pp. 477-490

Persistent link: https://www.econbiz.de/10013484818

Prediction of financial data with Hidden Markov Mixtures of Experts

Liehr, Stefan; Pawelzik, Klaus; Kohlmorgen, Jens; Lemm, … - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 593

Persistent link: https://www.econbiz.de/10001524504