Title :
Predicting trend in the next-day market by Hierarchical Hidden Markov Model
Author :
Troiano, Luigi ; Kriplani, Pravesh
Author_Institution :
Dept. of Eng., Univ. of Sannio, Benevento, Italy
Abstract :
The prediction of stock market movements represents a key component in developing winning trading strategies. Forecasting can have different time horizon. In this paper we focus our attention to very short term, and we develop a model able to predict market trends with a horizon of few days ahead. Based on Hierarchical Hidden Markov Model, our approach has been tested against the Indian stock market index (Nifty), and experimental results are presented and discussed.
Keywords :
hidden Markov models; stock markets; Indian stock market index; Nifty; hierarchical hidden Markov model; market trend prediction; Biological system modeling; Forecasting; Hidden Markov models; Indexes; Predictive models; Production; Stock markets;
Conference_Titel :
Computer Information Systems and Industrial Management Applications (CISIM), 2010 International Conference on
Conference_Location :
Krackow
Print_ISBN :
978-1-4244-7817-0
DOI :
10.1109/CISIM.2010.5643663
