Essays about: "Multivariate Financial Time Series"

Showing result 11 - 11 of 11 essays containing the words Multivariate Financial Time Series.

  1. 11. Algorithmic Trading : Hidden Markov Models on Foreign Exchange Data

    University essay from Linköpings universitet/Matematiska institutionen; Linköpings universitet/Matematiska institutionen

    Author : Patrik Idvall; Conny Jonsson; [2008]
    Keywords : Algorithmic Trading; Exponentially Weighted Expectation Maximization Algorithm; Foreign Exchange; Gaussian Mixture Models; Hidden Markov Models;

    Abstract : In this master's thesis, hidden Markov models (HMM) are evaluated as a tool for forecasting movements in a currency cross. With an ever increasing electronic market, making way for more automated trading, or so called algorithmic trading, there is constantly a need for new trading strategies trying to find alpha, the excess return, in the market. READ MORE