Pattern recognition using hidden Markov models in financial time series

Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series

Analysis of Financial Time Sequence using Hidden Markov Models

Financial time sequence analysis has been a popular research topic in the field of finance, data science and machine learning. It is a highly challenging due to the extreme complexity within the sequences. Mostly existing models are failed to capture its intrinsic information, factor and tendency. To improve the previous approaches, in this paper, we propose a Hidden Markov Model (HMMs) based a...

Pattern Recognition of International Crises using Hidden Markov Models

Event data are one of the most widely used indicators in quantitative international relations research. To date, most of the models using event data have constructed numerical indicators based on the characteristics of the events measured in isolation and then aggregated. An alternative approach is to use quantitative pattern recognition techniques to compare an existing sequence of behaviors t...

Isolated Malay Digit Recognition Using Pattern Recognition Fusion of Dynamic Time Warping and Hidden Markov Models

This paper is presents a pattern recognition fusion method for isolated Malay digit recognition using Dynamic Time Warping (DTW) and Hidden Markov Model (HMM). The aim of the project is to increase the accuracy percentage of Malay speech recognition. This study proposes an algorithm for pattern recognition fusion of the recognition models. The endpoint detection, framing, normalization, Mel Fre...

Volatility: a hidden Markov process in financial time series.

Volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, volatility is unobservable and only the price is known. Diffusion theory has many common points with the research on volatility, the key of the analogy being that volatility is a time-dependent...