Market forecasting using Hidden Markov Models
Machine Learning
2016-05-09 v2 Machine Learning
Abstract
Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different financial time series depending on their structure. Subsequently, we analyse the forecasting methods exposed in the previous literature, putting on evidence their pros and cons.
Cite
@article{arxiv.1504.07829,
title = {Market forecasting using Hidden Markov Models},
author = {Sara Rebagliati and Emanuela Sasso and Samuele Soraggi},
journal= {arXiv preprint arXiv:1504.07829},
year = {2016}
}
Comments
This paper has been withdrawn by the author due to many errors and not very precise results