Modelling financial time series with switching state space models

Research output: Chapter in Book/Report/Conference proceedingChapter

View graph of relations Save citation

Authors

Research units

Abstract

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

Documents

  • 1999_Conference_on_Computational_Intelligence_for_Financial.pdf

    Rights statement: ©1999 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.

    597 KB, PDF-document

Details

Publication date1999
Publication titleProceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering
Place of PublicationPort Jefferson, NY
PublisherIEEE
Pages240-249
Number of pages10
ISBN (Print)0780356632
Original languageEnglish
EventIEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering -

Conference

ConferenceIEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering
Period1/01/991/01/99

Bibliographic note

©1999 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.

    Keywords

  • deficiencies, stationary models, financial time series, non-stationarity, stationary regimes, generator switches, financial markets, hidden Markov model, financial data sets, benchmark methods

DOI

Download statistics

No data available

Employable Graduates; Exploitable Research

Copy the text from this field...