Determining Stock Trend Using Hidden Markov Model
نویسندگان
چکیده
In this paper, we model a stock dynamic using Hidden Markov Model (HMM) where weekly return is normally distributed with mean and variance depending on the hidden random variable representing the stock trend. Using Expectation-Maximization algorithm, we estimate all the parameters and design a simple trading strategy based on it. We then compare its performance with Buy and Hold and Resistance and Support strategy. The result shows that our proposed HMM strategy outperforms the other two strategies in most cases.
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