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Table Of Contents

1.1 Financial Time Series
1.2 Return of Financial Time Series
1.6 Objective
1.7 Contributions of the Thesis
1.8 Thesis Organization
1.9 Notation
2.1 Markov Models
2.2 A Markov chain of stock market movement
2.3 Hidden Markov Models
2.4 Why HMM?
2.5 General form of an HMM
2.6 Discrete and continuous observation probability distribution
2.6.1 Discrete observation probability distribution
2.6.2 Continuous observation probability distribution
2.7 Three Fundamental Problems for HMMs
2.7.1 Problem 1: finding the probability of an observation
2.7.2 Problem 2: Finding the best state sequence
2.7.3 Problem 3: Parameter estimation
2.8 Chapter Summary
3.1 Previous Work
3.2 Baum-Welch Re-estimation for Gaussian mixtures
3.3 Multivariate Gaussian Mixture as Observation Density
3.3.1 Multivariate Gaussian distributions
3.3.2 EM for multivariate Gaussian mixtures
3.4 Multiple Observation Sequences
3.5 Dynamic Training Pool
3.6 Making Predictions with HMM
3.6.1 Setup of HMM Parameters
3.6.2 Making predictions
3.7 Chapter Summary
4.1 Maximum-likelihood
4.2 The Traditional EM Algorithm
4.3 Rewriting the Q Function
4.4 Weighted EM Algorithm for Gaussian Mixtures
4.5 HMGM Parameter Re-estimation with the Weighted EM
4.6 Calculation and Properties of the Exponential Moving
4.7 HMGM Parameters Re-estimation in a Form of EMA
4.8 The EM Theorem and Convergence Property
4.9 The Double Weighted EM Algorithm
4.9.1 Problem with the Exponentially Weighted Algorithm
4.9.2 Double Exponentially Weighted Algorithm
4.10 Chapter Summary
Experimental Results
5.1 Experiments with Synthetic Data Set
5.2 Recurrent Neural Network Results
5.3 HMGM Experimental Results
5.5 Comparing the Sharpe Ratio with the Top Five S&P 500
5.6 Comparisons with Previous Work
Conclusion and Future Work
6.1 Conclusion
6.2 Future Work
Terminology List
Bibliography
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HMM Predicting Financial Time Series

HMM Predicting Financial Time Series

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Categories:Types, Research, Science
Published by: ipixtlan on Nov 04, 2011
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