Related papers: HMM-LSTM Fusion Model for Economic Forecasting

Modeling brain dynamics to better understand and control complex behaviors underlying various cognitive brain functions are of interests to engineers, mathematicians, and physicists from the last several decades. With a motivation of…

Hidden Markov models (HMMs) are popular models to identify a finite number of latent states from sequential data. However, fitting them to large data sets can be computationally demanding because most likelihood maximization techniques…

We investigate a novel modeling approach for end-to-end neural network training using hidden Markov models (HMM) where the transition probabilities between hidden states are modeled and learned explicitly. Most contemporary…

Hidden Markov Models (HMMs) are a ubiquitous tool to model time series data, and have been widely used in two main tasks of Automatic Music Transcription (AMT): note segmentation, i.e. identifying the played notes after a multi-pitch…

Oil companies are among the largest companies in the world whose economic indicators in the global stock market have a great impact on the world economy\cite{ec00} and market due to their relation to gold\cite{ec01}, crude oil\cite{ec02},…

We propose the Gaussian-Linear Hidden Markov model (GLHMM), a generalisation of different types of HMMs commonly used in neuroscience. In short, the GLHMM is a general framework where linear regression is used to flexibly parameterise the…

Markov state models (MSMs) have been successful in computing metastable states, slow relaxation timescales and associated structural changes, and stationary or kinetic experimental observables of complex molecules from large amounts of…

The quest for accurate economic forecasting has traditionally been dominated by econometric models, which most of the times rely on the assumptions of linear relationships and stationarity in of the data. However, the complex and often…

Supply chain resilience and efficiency are vital in industries characterized by volatile demand and uncertain supply, such as textiles and personal protective equipment (PPE). Traditional forecasting and optimization approaches often…

State-of-the-art forecasting methods using Recurrent Neural Net- works (RNN) based on Long-Short Term Memory (LSTM) cells have shown exceptional performance targeting short-horizon forecasts, e.g given a set of predictor features, forecast…

Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…

Analysis of multivariate healthcare time series data is inherently challenging: irregular sampling, noisy and missing values, and heterogeneous patient groups with different dynamics violating exchangeability. In addition, interpretability…

The financial market trend forecasting method is emerging as a hot topic in financial markets today. Many challenges still currently remain, and various researches related thereto have been actively conducted. Especially, recent research of…

We show how models for prediction with expert advice can be defined concisely and clearly using hidden Markov models (HMMs); standard HMM algorithms can then be used to efficiently calculate, among other things, how the expert predictions…

This study investigates the contribution of Intrinsic Mode Functions (IMFs) derived from economic time series to the predictive performance of neural network models, specifically Multilayer Perceptrons (MLP) and Long Short-Term Memory…

Analysis of time-series data allows to identify long-term trends and make predictions that can help to improve our lives. With the rapid development of artificial neural networks, long short-term memory (LSTM) recurrent neural network (RNN)…

For recurrent neural networks trained on time series with target and exogenous variables, in addition to accurate prediction, it is also desired to provide interpretable insights into the data. In this paper, we explore the structure of…

We present a deep long short-term memory (LSTM)-based neural network for predicting asset prices, together with a successful trading strategy for generating profits based on the model's predictions. Our work is motivated by the fact that…

The Continuous-Time Hidden Markov Model (CT-HMM) is an attractive approach to modeling disease progression due to its ability to describe noisy observations arriving irregularly in time. However, the lack of an efficient parameter learning…

Stock market prediction is a long-standing challenge in finance, as accurate forecasts support informed investment decisions. Traditional models rely mainly on historical prices, but recent work shows that financial news can provide useful…