Hidden Markov Models

Papers:

• Rabiner -- A Tutorial on Hidden Markov Models and Selected Applications in Speech Recognition

• Kanungo -- Hidden Markov Model Tutorial

• Calvet and Fisher: How to Forecast Long Run Volatility Regime Switching and the Estimation of Multifractal Processes, 2004

• Calvet and Fisher -- Multifrequency News and Stock Returns, 2006

• Hassan and Nath -- Stock Market Forecasting Using Hidden Markov Models: A New Approach (2005)

• Thinly Traded Shares on the Johannesburg Stock Exchange

• Bengio, Lauzon, Ducharme -- Experiments on the Application of IOHMM to Model Financial Return Series (2001)

• Hidden Markov Chains

Books and Theses:

• Inference in Hidden Markov Models (2005 Book)

• Zhang, Prediction of Financial Time Series With Hidden Markov Models (2004 Masters Thesis) -- this thesis claims to "totally beat the stock market" using HMM's.

• Idvall and Jonsson, Algorithmic Trading: Hidden Markov Models on Foreign Exchange Data (2008 Masters Thesis)

Other:

• http://sage.math.washington.edu/home/simuw/simuw08/refs/hmm/