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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
2.3 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
4.3 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
5.4 Test on Data Sets from Diﬀerent Time Periods
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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Markov Financial Model

# Markov Financial Model

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02/10/2012

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