Essays about: "Multivariate Financial Time Series"
Showing result 11 - 11 of 11 essays containing the words Multivariate Financial Time Series.
11. Algorithmic Trading : Hidden Markov Models on Foreign Exchange DataUniversity essay from Linköpings universitet/Matematiska institutionen; Linköpings universitet/Matematiska institutionen
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