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Author: William A. Stein
2008/simuw/day5
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2008/simuw/day5

Tuesday, August 5 -- Hidden Markov Models

  1. (15 minutes) Multifractal model of asset returns review -- quick demo with increased resolution, which looks way better. Here

  2. (30 minutes) Markov processes Worksheet 1

  3. (50 minutes) Hidden Markov Models Worksheet 2

  4. (10 minutes) Break
  5. (35 minutes) Application of Hidden Markov models Worksheet 3, Worksheet 4, and Worksheet 5

  6. (10 minutes) Stock trading
  7. Reading Assignment:

2013-05-11 18:32