Stock Market Trend Analysis Using Hidden Markov Model and Long Short Term Memory
Pricing of Securities
2021-04-21 v1 Machine Learning
Computational Finance
Portfolio Management
Trading and Market Microstructure
Abstract
This paper intends to apply the Hidden Markov Model into stock market and and make predictions. Moreover, four different methods of improvement, which are GMM-HMM, XGB-HMM, GMM-HMM+LSTM and XGB-HMM+LSTM, will be discussed later with the results of experiment respectively. After that we will analyze the pros and cons of different models. And finally, one of the best will be used into stock market for timing strategy.
Cite
@article{arxiv.2104.09700,
title = {Stock Market Trend Analysis Using Hidden Markov Model and Long Short Term Memory},
author = {Mingwen Liu and Junbang Huo and Yulin Wu and Jinge Wu},
journal= {arXiv preprint arXiv:2104.09700},
year = {2021}
}