Thursday, August 7 -- Hidden Markov Models and Financial Time Series
(40 minutes) Two State Discrete Hidden Markov Models for Daily Stock Price Data
(30 minutes) Hidden Markov Models for minute-by-minute stock price data
- (10 minutes) Break
(30 minutes) Gaussian Continuous Hidden Markov Models and Financial Time Series
(30 minutes) Correlation and Trading Stategies
- (10 minutes) Trading Stocks
Reading Assignment: Read the section on derivatives here.