Application of hidden Markov models and hidden semi-Markov models to financial time series:
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| Format: | Book |
| Language: | English |
| Published: |
2006
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Göttingen, Univ., Diss., 2006 |
| Physical Description: | X, 146 S. graph. Darst. |
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MARC
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Record in the Search Index
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CONTENTS 1 INTRODUCTION 1 2 HIDDEN MARKOV MODELS 6 2.1 FUNDAMENTALS 7
2.1.1 INDEPENDENT MIXTURE DISTRIBUTIONS 7 2.1.2 MARKOV CHAINS 14 2.2
HIDDEN MARKOV MODELS 16 2.2.1 THE BASIC HIDDEN MARKOV MODEL 16 2.2.2 THE
LIKELIHOOD OF A HIDDEN MARKOV MODEL 18 3 PARAMETER ESTIMATION FOR HIDDEN
MARKOV MODELS 20 3.1 ESTIMATION ALGORITHMS FOR STATIONARY HIDDEN MARKOV
MODELS 21 3.1.1 DIRECT NUMERICAL MAXIMIZATION 21 3.1.2 THE STATIONARY EM
ALGORITHM 23 3.1.3 THE HYBRID ALGORITHM 25 3.2 A SIMULATION EXPERIMENT
25 3.2.1 STUDY DESIGN 26 3.2.2 RESULTS FOR DIFFERENT PARAMETERIZATIONS
26 3.2.3 PERFORMANCE OF THE HYBRID ALGORITHM 29 3.2.4 COVERAGE
PROBABILITY OF CONFIDENCE INTERVALS 32 3.3 AN APPLICATION 35 3.4
CONCLUSION 37 CONTENTS V 4 MARKOV SWITCHING APPROACHES TO MODEL
TIME-VARYING BETAS 38 4.1 THE UNCONDITIONAL BETA IN THE CAPM 40 4.2 THE
MARKOV SWITCHING APPROACH 41 4.3 DATA AND PRELIMINARY ANALYSIS 43 4.3.1
DATA SERIES 43 4.3.2 UNIVARIATE STATISTICS 44 4.4 EMPIRICAL RESULTS 45
4.4.1 UNCONDITIONAL BETA ESTIMATES 45 4.4.2 MODELING CONDITIONAL BETAS
46 4.4.3 COMPARISON OF CONDITIONAL BETA ESTIMATES 46 4.4.4 IN-SAMPLE AND
OUT-OF-SAMPLE FORECASTING ACCURACY . . 48 4.5 CONCLUSION 50 4.6
ESTIMATION RESULTS 52 5 HIDDEN SEMI-MARKOV MODELS 57 5.1 THE BASIC
DEFINITIONS 58 5.1.1 SEMI-MARKOV CHAINS 59 5.1.2 HIDDEN SEMI-MARKOV
MODELS 61 5.2 THE LIKELIHOOD FUNCTION OF A HIDDEN SEMI-MARKOV MODEL 62
5.2.1 THE PARTIAL LIKELIHOOD ESTIMATOR 64 5.2.2 THE COMPLETE LIKELIHOOD
ESTIMATOR 66 5.3 THE EM ALGORITHM FOR HIDDEN SEMI-MARKOV MODELS 67 5.3.1
THE Q-FUNCTION 68 5.3.2 THE FOR WARD-BACK WARD ALGORITHM 72 5.3.2.1 THE
FORWARD ITERATION 75 5.3.2.2 THE BACKWARD ITERATION 77 5.3.3 THE SOJOURN
TIME DISTRIBUTION 80 5.3.3.1 THE Q- FUNCTION BASED ON THE FUELL
LIKELIHOOD ESTIMATOR 81 VI CONTENTS 5.3.3.2 THE Q-PUNCTION BASED ON THE
PARTIAL LIKELI- HOOD ESTIMATOR 83 5.3.4 PARAMETER RE-ESTIMATION 84
5.3.4.1 THE INITIAL PARAMETERS 85 5.3.4.2 THE TRANSITION PROBABILITIES
85 5.3.4.3 THE STATE OCCUPANCY DISTRIBUTION 86 5.3.4.4 THE OBSERVATION
COMPONENT 94 5.4 ASYMPTOTIC PROPCRTIES OF THE MAXIMUM LIKELIHOOD
ESTIMATORS 105 5.5 STATIONARY HIDDEN SEMI-MARKOV MODELS 105 6 STYLIZED
FACTS OF DAILY RETURN SERIES AND HIDDEN SEMI-MARKOV MODELS 107 6.1
MODELING DAILY RETURN SERIES 108 6.2 THE DATA SERIES 109 6.3 EMPIRICAL
RESULTS 110 6.4 CONCLUSION 120 6.5 ESTIMATION RESULTS 121 7 CONCLUSION
AND FUTURE WORK 124 A THE EM ALGORITHM 126 * A.L PREREQUISITES 126 A.2
IMPLEMENTATION OF THE EM ALGORITHM 128 A.3 CONVERGENCE PROPERTIES OF THE
EM ALGORITHM 129 B THE FORWARD-BACKWARD ALGORITHM 131 C SOURCE CODE FOR
THE ESTIMATION PROCEDURES 135 D NOTATIONAL CONVENTIONS AND ABBREVIATIONS
136 |
| adam_txt |
CONTENTS 1 INTRODUCTION 1 2 HIDDEN MARKOV MODELS 6 2.1 FUNDAMENTALS 7
2.1.1 INDEPENDENT MIXTURE DISTRIBUTIONS 7 2.1.2 MARKOV CHAINS 14 2.2
HIDDEN MARKOV MODELS 16 2.2.1 THE BASIC HIDDEN MARKOV MODEL 16 2.2.2 THE
LIKELIHOOD OF A HIDDEN MARKOV MODEL 18 3 PARAMETER ESTIMATION FOR HIDDEN
MARKOV MODELS 20 3.1 ESTIMATION ALGORITHMS FOR STATIONARY HIDDEN MARKOV
MODELS 21 3.1.1 DIRECT NUMERICAL MAXIMIZATION 21 3.1.2 THE STATIONARY EM
ALGORITHM 23 3.1.3 THE HYBRID ALGORITHM 25 3.2 A SIMULATION EXPERIMENT
25 3.2.1 STUDY DESIGN 26 3.2.2 RESULTS FOR DIFFERENT PARAMETERIZATIONS
26 3.2.3 PERFORMANCE OF THE HYBRID ALGORITHM 29 3.2.4 COVERAGE
PROBABILITY OF CONFIDENCE INTERVALS 32 3.3 AN APPLICATION 35 3.4
CONCLUSION 37 CONTENTS V 4 MARKOV SWITCHING APPROACHES TO MODEL
TIME-VARYING BETAS 38 4.1 THE UNCONDITIONAL BETA IN THE CAPM 40 4.2 THE
MARKOV SWITCHING APPROACH 41 4.3 DATA AND PRELIMINARY ANALYSIS 43 4.3.1
DATA SERIES 43 4.3.2 UNIVARIATE STATISTICS 44 4.4 EMPIRICAL RESULTS 45
4.4.1 UNCONDITIONAL BETA ESTIMATES 45 4.4.2 MODELING CONDITIONAL BETAS
46 4.4.3 COMPARISON OF CONDITIONAL BETA ESTIMATES 46 4.4.4 IN-SAMPLE AND
OUT-OF-SAMPLE FORECASTING ACCURACY . . 48 4.5 CONCLUSION 50 4.6
ESTIMATION RESULTS 52 5 HIDDEN SEMI-MARKOV MODELS 57 5.1 THE BASIC
DEFINITIONS 58 5.1.1 SEMI-MARKOV CHAINS 59 5.1.2 HIDDEN SEMI-MARKOV
MODELS 61 5.2 THE LIKELIHOOD FUNCTION OF A HIDDEN SEMI-MARKOV MODEL 62
5.2.1 THE PARTIAL LIKELIHOOD ESTIMATOR 64 5.2.2 THE COMPLETE LIKELIHOOD
ESTIMATOR 66 5.3 THE EM ALGORITHM FOR HIDDEN SEMI-MARKOV MODELS 67 5.3.1
THE Q-FUNCTION 68 5.3.2 THE FOR WARD-BACK WARD ALGORITHM 72 5.3.2.1 THE
FORWARD ITERATION 75 5.3.2.2 THE BACKWARD ITERATION 77 5.3.3 THE SOJOURN
TIME DISTRIBUTION 80 5.3.3.1 THE Q- FUNCTION BASED ON THE FUELL
LIKELIHOOD ESTIMATOR 81 VI CONTENTS 5.3.3.2 THE Q-PUNCTION BASED ON THE
PARTIAL LIKELI- HOOD ESTIMATOR 83 5.3.4 PARAMETER RE-ESTIMATION 84
5.3.4.1 THE INITIAL PARAMETERS 85 5.3.4.2 THE TRANSITION PROBABILITIES
85 5.3.4.3 THE STATE OCCUPANCY DISTRIBUTION 86 5.3.4.4 THE OBSERVATION
COMPONENT 94 5.4 ASYMPTOTIC PROPCRTIES OF THE MAXIMUM LIKELIHOOD
ESTIMATORS 105 5.5 STATIONARY HIDDEN SEMI-MARKOV MODELS 105 6 STYLIZED
FACTS OF DAILY RETURN SERIES AND HIDDEN SEMI-MARKOV MODELS 107 6.1
MODELING DAILY RETURN SERIES 108 6.2 THE DATA SERIES 109 6.3 EMPIRICAL
RESULTS 110 6.4 CONCLUSION 120 6.5 ESTIMATION RESULTS 121 7 CONCLUSION
AND FUTURE WORK 124 A THE EM ALGORITHM 126 * A.L PREREQUISITES 126 A.2
IMPLEMENTATION OF THE EM ALGORITHM 128 A.3 CONVERGENCE PROPERTIES OF THE
EM ALGORITHM 129 B THE FORWARD-BACKWARD ALGORITHM 131 C SOURCE CODE FOR
THE ESTIMATION PROCEDURES 135 D NOTATIONAL CONVENTIONS AND ABBREVIATIONS
136 |
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| language | English |
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| spelling | Bulla, Jan Verfasser aut Application of hidden Markov models and hidden semi-Markov models to financial time series vorgelegt von Helge Fischer 2006 X, 146 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Göttingen, Univ., Diss., 2006 Semi-Markov-Modell (DE-588)4180964-6 gnd rswk-swf Daten (DE-588)4135391-2 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Hidden-Markov-Modell (DE-588)4352479-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalmarkt (DE-588)4029578-3 s Daten (DE-588)4135391-2 s Hidden-Markov-Modell (DE-588)4352479-5 s DE-604 Semi-Markov-Modell (DE-588)4180964-6 s SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015415819&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bulla, Jan Application of hidden Markov models and hidden semi-Markov models to financial time series Semi-Markov-Modell (DE-588)4180964-6 gnd Daten (DE-588)4135391-2 gnd Kapitalmarkt (DE-588)4029578-3 gnd Hidden-Markov-Modell (DE-588)4352479-5 gnd |
| subject_GND | (DE-588)4180964-6 (DE-588)4135391-2 (DE-588)4029578-3 (DE-588)4352479-5 (DE-588)4113937-9 |
| title | Application of hidden Markov models and hidden semi-Markov models to financial time series |
| title_auth | Application of hidden Markov models and hidden semi-Markov models to financial time series |
| title_exact_search | Application of hidden Markov models and hidden semi-Markov models to financial time series |
| title_exact_search_txtP | Application of hidden Markov models and hidden semi-Markov models to financial time series |
| title_full | Application of hidden Markov models and hidden semi-Markov models to financial time series vorgelegt von Helge Fischer |
| title_fullStr | Application of hidden Markov models and hidden semi-Markov models to financial time series vorgelegt von Helge Fischer |
| title_full_unstemmed | Application of hidden Markov models and hidden semi-Markov models to financial time series vorgelegt von Helge Fischer |
| title_short | Application of hidden Markov models and hidden semi-Markov models to financial time series |
| title_sort | application of hidden markov models and hidden semi markov models to financial time series |
| topic | Semi-Markov-Modell (DE-588)4180964-6 gnd Daten (DE-588)4135391-2 gnd Kapitalmarkt (DE-588)4029578-3 gnd Hidden-Markov-Modell (DE-588)4352479-5 gnd |
| topic_facet | Semi-Markov-Modell Daten Kapitalmarkt Hidden-Markov-Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015415819&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bullajan applicationofhiddenmarkovmodelsandhiddensemimarkovmodelstofinancialtimeseries |