22,861 research outputs found
Using Hidden Markov Model for Stock Day Trade Forecasting
Around the world, the Hidden Markov Models (HMM) are the most popular methods in the machine learning and statistics for modeling sequences, especially in speech recognition domain. According to the number of patent applications for speech recognition technology form 1988 to 1998, the trend shows that this method has become very mature. In this thesis, we will make a new use of the HMM and apply it on day trading stock forecast.
However, the HMM is based on probability and statistics theory. In a statistics framework, the HMM is a composition of two stochastic processes, a Hidden Markov chain, which accounts for temporal variability, and an observable process, which accounts for spectral variability. The combination contains uncertainly status just likes the stock walk trace. Therefore, the HMM and the stock walk trace have the same idea by coincidence. In this thesis, we will try to learn the stock syntax; just like how the HMM model was used in speech recognition in different languages, and the take the next step ahead in price prediction.
Additionally, the stock market is the reflection of the economy. The stock trace is impacted by many factors such as policy, psychology, microeconomics, economics, and capital, etc. There, in this thesis, the TAIFEX Taiwan index futures (TX) and day trade are used to avoid all the uncertainty factors. After the all experiments, it is proven that the HMM is better than the benchmark methodRandom Walk method and the Investment Trust & Consulting Association method- Modified Trading method. Moreover, the result is very conspicuous by the statistics testing of significance
Learning a Hybrid Architecture for Sequence Regression and Annotation
When learning a hidden Markov model (HMM), sequen- tial observations can
often be complemented by real-valued summary response variables generated from
the path of hid- den states. Such settings arise in numerous domains, includ-
ing many applications in biology, like motif discovery and genome annotation.
In this paper, we present a flexible frame- work for jointly modeling both
latent sequence features and the functional mapping that relates the summary
response variables to the hidden state sequence. The algorithm is com- patible
with a rich set of mapping functions. Results show that the availability of
additional continuous response vari- ables can simultaneously improve the
annotation of the se- quential observations and yield good prediction
performance in both synthetic data and real-world datasets.Comment: AAAI 201
Information Extraction, Data Integration, and Uncertain Data Management: The State of The Art
Information Extraction, data Integration, and uncertain data management are different areas of research that got vast focus in the last two decades. Many researches tackled those areas of research individually. However, information extraction systems should have integrated with data integration methods to make use of the extracted information. Handling uncertainty in extraction and integration process is an important issue to enhance the quality of the data in such integrated systems. This article presents the state of the art of the mentioned areas of research and shows the common grounds and how to integrate information extraction and data integration under uncertainty management cover
Beyond Sparsity: Tree Regularization of Deep Models for Interpretability
The lack of interpretability remains a key barrier to the adoption of deep
models in many applications. In this work, we explicitly regularize deep models
so human users might step through the process behind their predictions in
little time. Specifically, we train deep time-series models so their
class-probability predictions have high accuracy while being closely modeled by
decision trees with few nodes. Using intuitive toy examples as well as medical
tasks for treating sepsis and HIV, we demonstrate that this new tree
regularization yields models that are easier for humans to simulate than
simpler L1 or L2 penalties without sacrificing predictive power.Comment: To appear in AAAI 2018. Contains 9-page main paper and appendix with
supplementary materia
Recognizing and forecasting the sign of financial local trends using hidden Markov models
The problem of forecasting financial time series has received great attention in the past, from both
Econometrics and Pattern Recognition researchers. In this context, most of the efforts were spent to
represent and model the volatility of the financial indicators in long time series. In this paper a different
problem is faced, the prediction of increases and decreases in short (local) financial trends. This problem,
poorly considered by the researchers, needs specific models, able to capture the movement in the short
time and the asymmetries between increase and decrease periods. The methodology presented in this
paper explicitly considers both aspects, encoding the financial returns in binary values (representing the
signs of the returns), which are subsequently modelled using two separate Hidden Markov models, one for
increases and one for decreases, respectively. The approach has been tested with different experiments
with the Dow Jones index and other shares of the same market of different risk, with encouraging results
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