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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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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 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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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
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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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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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Stochastic dividend discount model : covariance of random stock prices
Agosto, Arianna; Mainini, Alessandra; Moretto, Enrico - In: Journal of economics and finance 43 (2019) 3, pp. 552-568
Persistent link: https://www.econbiz.de/10012171498