Stock Market Trend Analysis Using Hidden Markov Model and Long Short Term Memory

2021/04/20 by Liu, Mingwen, Huo, Junbang, Wu, Yulin +1
#Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Portfolio Management (q-fin.PM) #Pricing of Securities (q-fin.PR) #Trading and Market Microstructure (q-fin.TR)

paper · doi:10.48550/arxiv.2104.09700

Abstract

This paper intends to apply the Hidden Markov Model into stock market and and make predictions. Moreover, four different methods of improvement, which are GMM-HMM, XGB-HMM, GMM-HMM+LSTM and XGB-HMM+LSTM, will be discussed later with the results of experiment respectively. After that we will analyze the pros and cons of different models. And finally, one of the best will be used into stock market for timing strategy.

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