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Hidden Markov Models In Finance

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Hidden Markov Models In Finance

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Author : Rogemar S. Mamon
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-26

Hidden Markov Models In Finance written by Rogemar S. Mamon and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-26 with Business & Economics categories.

A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.

Hidden Markov Models In Finance

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Author : Rogemar S. Mamon
language : en
Publisher: Springer
Release Date : 2014-05-14

Hidden Markov Models In Finance written by Rogemar S. Mamon and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-14 with Business & Economics categories.

Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.

Hidden Markov Models In Finance

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Author : Rogemar S. Mamon
language : en
Publisher:
Release Date : 2014-06-30

Hidden Markov Models In Finance written by Rogemar S. Mamon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-30 with categories.

Hidden Markov Models

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Author : Ramaprasad Bhar
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-04-18

Hidden Markov Models written by Ramaprasad Bhar and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-18 with Business & Economics categories.

Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas of social science research as well. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics. As such we only cover the necessary theoretical aspects in each chapter while focusing on real life applications using contemporary data mainly from OECD group of countries. The underlying assumption here is that the researchers in financial economics would be familiar with such application although empirical techniques would be more traditional econometrics. Keeping the application level in a more familiar level, we focus on the methodology based on hidden Markov processes. This will, we believe, help the reader to develop more in-depth understanding of the modeling issues thereby benefiting their future research.

Hidden Markov Models In Finance

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Author : Rogemar S. Mamon
language : en
Publisher: Springer
Release Date : 2010-11-25

Hidden Markov Models In Finance

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Author : Rogemar S. Mamon
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-24

Hidden Markov Models

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Author : Robert J Elliott
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-27

Hidden Markov Models written by Robert J Elliott and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-27 with Science categories.

As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.

Mixture And Hidden Markov Models With R

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Author : Ingmar Visser
language : en
Publisher: Springer Nature
Release Date : 2022-06-28

Mixture And Hidden Markov Models With R written by Ingmar Visser and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-28 with Mathematics categories.

This book discusses mixture and hidden Markov models for modeling behavioral data. Mixture and hidden Markov models are statistical models which are useful when an observed system occupies a number of distinct “regimes” or unobserved (hidden) states. These models are widely used in a variety of fields, including artificial intelligence, biology, finance, and psychology. Hidden Markov models can be viewed as an extension of mixture models, to model transitions between states over time. Covering both mixture and hidden Markov models in a single book allows main concepts and issues to be introduced in the relatively simpler context of mixture models. After a thorough treatment of the theory and practice of mixture modeling, the conceptual leap towards hidden Markov models is relatively straightforward. This book provides many practical examples illustrating the wide variety of uses of the models. These examples are drawn from our own work in psychology, as well as other areas such as financial time series and climate data. Most examples illustrate the use of the authors’ depmixS4 package, which provides a flexible framework to construct and estimate mixture and hidden Markov models. All examples are fully reproducible and the accompanying hmmR package provides all the datasets used, as well as additional functionality. This book is suitable for advanced students and researchers with an applied background.

Inference In Hidden Markov Models

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Author : Olivier Cappé
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-04-12

Inference In Hidden Markov Models written by Olivier Cappé and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-12 with Mathematics categories.

This book is a comprehensive treatment of inference for hidden Markov models, including both algorithms and statistical theory. Topics range from filtering and smoothing of the hidden Markov chain to parameter estimation, Bayesian methods and estimation of the number of states. In a unified way the book covers both models with finite state spaces and models with continuous state spaces (also called state-space models) requiring approximate simulation-based algorithms that are also described in detail. Many examples illustrate the algorithms and theory. This book builds on recent developments to present a self-contained view.

Advances In Data Analysis Data Handling And Business Intelligence

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Author : Andreas Fink
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-10-14

Advances In Data Analysis Data Handling And Business Intelligence written by Andreas Fink and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-14 with Computers categories.

Data Analysis, Data Handling and Business Intelligence are research areas at the intersection of computer science, artificial intelligence, mathematics, and statistics. They cover general methods and techniques that can be applied to a vast set of applications such as in marketing, finance, economics, engineering, linguistics, archaeology, musicology, medical science, and biology. This volume contains the revised versions of selected papers presented during the 32nd Annual Conference of the German Classification Society (Gesellschaft für Klassifikation, GfKl). The conference, which was organized in cooperation with the British Classification Society (BCS) and the Dutch/Flemish Classification Society (VOC), was hosted by Helmut-Schmidt-University, Hamburg, Germany, in July 2008.

Hidden Markov Models In Finance

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