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Matlab / Markov
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Created: by mokodo Attachments:3

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Matlab / Markov

  #31 (permalink)
 Vendor: www.indicatorx.com 
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@liciobruno

4-Hidden_Markov_Models[1].pdf
This one is a good intro in powerpoint style

MSV3481.pdf
PID2221657.pdf
hassan-nath-2005-stock_market_forecasting_using_hidden_markov_model_a_new_approach.pdf
Short papers with fairly straight-forward implementation of the method

know thyself
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  #32 (permalink)
Trading Apprentice
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Papers

Thanks, @mokodo, I will study them.

I think I can give you an answer for the next week, because I'll be very busy until the first february week, so I can dedicate just my (little) freetime.

Greetings.

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  #33 (permalink)
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paper


Hi Mokodo
This is a fantastic thread and very useful as I am also learning HMM for price forecasting.
I read below mentioned thesis and found it very interesting, the author provides various ways to improve the HMM.

Attached
Yingjian Zhang, M.Sc. Thesis, Prediction of Financial Time Series with Hidden Markov Models, May 2004

Looking forward to codes/results

Attached Thumbnails
Matlab  / Markov-prediction-financial-time-series-hidden-markov-models.pdf  
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  #34 (permalink)
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Still here!!!

Hi @mokodo, I'm still here.

I'm sorry to be so slow, but unexpected problems urged me to be elsewhere.

I studied many of your papers, and I will start as soon as possible to make experiments in MatLab to be familiar with this toolbox, following your indications in posts.

I will inform you when I will arrive to a conclusion.

Thank you for your patience.

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  #35 (permalink)
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No Worries


liciobruno View Post
Hi @mokodo, I'm still here.

I'm sorry to be so slow, but unexpected problems urged me to be elsewhere.

I studied many of your papers, and I will start as soon as possible to make experiments in MatLab to be familiar with this toolbox, following your indications in posts.

I will inform you when I will arrive to a conclusion.

Thank you for your patience.

Hey, no hurry at all. This is a side project to get some coding expereince on MATLAB and flex my grey matter. Glad to hear you got some value from the articles.

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  #36 (permalink)
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hi guys,

You may find this interesting, there was an article in the nov. issue of futures magazine about hidden markov models.
The profitable, hidden and Markovian couple of Swiss and gold

Haven't studied it in dept but i guess it basically comes down to a state machine (in software terms) with added quantified/statistical changes of moving from one state to the other after an event/trigger. Adding multiple inputs (in the case of the fut article Swiss & gold) makes it for us humans more complex so better for a pc /algorithm.

I would be interested to know if this (HMM) works better than eg. a neural network? At a very fundabental level that too has inputs, factors (% change of firing) and outputs (which could be seen as which state its in). so instead of spending the time to find the % for the HMM and finding usefull inputs/indicators, wouldn't it be more productive to use a NN and have it sort out the ralationship by its own? just wondering...

Looking forward to hear the benefits or the edge a HMM gives in trading over other techniques.

With regards...

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  #37 (permalink)
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Hi mokodo,

is this topic still active


Last edited by 123mitnik; January 13th, 2014 at 12:38 PM. Reason: need some editing
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  #38 (permalink)
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123mitnik View Post
Hi mokodo,

is this topic still active

I wish it was. Too late to the party to get them codes

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  #39 (permalink)
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HMM

I am curious too....I am just starting to use HMM in Matlab for credit card transaction profiling. Need to find fraudulent transactions where much of the data such as description of items purchased is missing

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  #40 (permalink)
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Scikit-learn HMM is really easy to get going in python
Hidden Markov Models ? scikit-learn 0.15.1 documentation

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