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Author: William A. Stein
2008/simuw/day6
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2008/simuw/day6

Tuesday, August 5 -- A Hidden Markov Models

See worksheets for day 6...

  1. (10 minutes) Trading
  2. Reading assignment: Look at Zhang, Prediction of Financial Time Series With Hidden Markov Models (2004 Masters Thesis), which is a Masters thesis that claims to "totally beat the stock market" using HMM's. Especially look at the first chapter and the last two chapters.


2013-05-11 18:32