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Market forecasting using Hidden Markov Models (1504.07829v2)
Published 29 Apr 2015 in stat.ML and cs.LG
Abstract: Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different financial time series depending on their structure. Subsequently, we analyse the forecasting methods exposed in the previous literature, putting on evidence their pros and cons.
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