Today's Message
Posted: Tuesday, November 21, 2006Mathematics Presentation Today: Gaussian Hidden Markov Models and Pairs Trading
Tuesday, November 21, at 12:15 p.m. in Science Building 220. Presenter: Steve Uurtamo. Gaussian Hidden Markov Models (HMMs) are a flexible modeling tool that can provide data prediction and clustering information for multivariate time-series data. In this talk, Uurtamo will briefly describe Gaussian HMMs, along with a few efficient computational methods for obtaining them. I will also present experimental results from applying these models to real-world stock price data, along with an application in the hedge trading realm.
