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Author: William A. Stein
2008/simuw/day7
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2008/simuw/day7

Thursday, August 7 -- Hidden Markov Models and Financial Time Series

  1. (40 minutes) Two State Discrete Hidden Markov Models for Daily Stock Price Data

  2. (30 minutes) Hidden Markov Models for minute-by-minute stock price data

  3. (10 minutes) Break
  4. (30 minutes) Gaussian Continuous Hidden Markov Models and Financial Time Series

  5. (30 minutes) Correlation and Trading Stategies

  6. (10 minutes) Trading Stocks
  7. Reading Assignment: Read the section on derivatives here.


2013-05-11 18:32