scholarly journals An application of hidden Markov models to asset allocation problems

1997 ◽  
Vol 1 (3) ◽  
pp. 229-238 ◽  
Author(s):  
Robert J. Elliott ◽  
John van der Hoek
Keyword(s):  
Hidden Markov Models ◽  
Asset Allocation ◽  
Markov Models ◽  
Hidden Markov ◽  
Allocation Problems

scholarly journals A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing

2021 ◽  
Vol 163 ◽  
pp. 113720
Author(s):  
Elizabeth Fons ◽  
Paula Dawson ◽  
Jeffrey Yau ◽  
Xiao-jun Zeng ◽  
John Keane
Keyword(s):  
Hidden Markov Models ◽  
Asset Allocation ◽  
Markov Models ◽  
Hidden Markov ◽  
Dynamic Asset Allocation ◽  
Allocation System ◽  
Feature Saliency ◽  
Smart Beta

Estimating Personality Impression from Speech Record Using Hidden Markov Models

2015 ◽  
Vol 135 (12) ◽  
pp. 1517-1523 ◽  
Author(s):  
Yicheng Jin ◽  
Takuto Sakuma ◽  
Shohei Kato ◽  
Tsutomu Kunitachi
Keyword(s):  
Hidden Markov Models ◽  
Markov Models ◽  
Hidden Markov

Hidden Markov Processes

2014 ◽  
Author(s):  
M. Vidyasagar
Keyword(s):  
Hidden Markov Models ◽  
Markov Processes ◽  
Viterbi Algorithm ◽  
Markov Models ◽  
Hidden Markov ◽  
Local Alignment ◽  
Biological Applications ◽  
Standard Material ◽  
Hidden Markov Processes ◽  
Genomics And Proteomics

This book explores important aspects of Markov and hidden Markov processes and the applications of these ideas to various problems in computational biology. It starts from first principles, so that no previous knowledge of probability is necessary. However, the work is rigorous and mathematical, making it useful to engineers and mathematicians, even those not interested in biological applications. A range of exercises is provided, including drills to familiarize the reader with concepts and more advanced problems that require deep thinking about the theory. Biological applications are taken from post-genomic biology, especially genomics and proteomics. The topics examined include standard material such as the Perron–Frobenius theorem, transient and recurrent states, hitting probabilities and hitting times, maximum likelihood estimation, the Viterbi algorithm, and the Baum–Welch algorithm. The book contains discussions of extremely useful topics not usually seen at the basic level, such as ergodicity of Markov processes, Markov Chain Monte Carlo (MCMC), information theory, and large deviation theory for both i.i.d and Markov processes. It also presents state-of-the-art realization theory for hidden Markov models. Among biological applications, it offers an in-depth look at the BLAST (Basic Local Alignment Search Technique) algorithm, including a comprehensive explanation of the underlying theory. Other applications such as profile hidden Markov models are also explored.

Market Regime Identification Using Hidden Markov Models

2016 ◽  
Author(s):  
Yuan Yuan ◽  
Gautam Mitra
Keyword(s):  
Hidden Markov Models ◽  
Markov Models ◽  
Hidden Markov ◽  
Market Regime
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