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1、2014ASEBIGDATA/SOCIALCOM/CYBERSECURITYConference,StanfordUniversity,May27-31,2014PredictionofFinancialTimeSeriesUsingHiddenMarkovModelsLevBrailovskiyandDr.MayaHermanDept.MathematicsandComputerScience,TheOpenUniversityofIsraelABSTRACTSYSTEMDESIGNANDIMPLEMENTATIONEXPERIMENTA
2、LRESULTSCONCLUSIONSHiddenMarkovModels(HMM)isapowerfulmachinelearningmodel.HMM’smainusagehasbeeninsolvingclassificationandpatternrecognitionproblemsinbiology,speechandvoicerecognition.Inrecentdays,attemptshavebeenmadetouseHMMforpredictioningeneralandpredictionoftimeseriesin
3、particular.However,thisisnotstraightforward.ToovercomethechallengesinpredictingtimeserieswithHMMsomehybridapproacheshavebeenapplied.Thispaperhastwomainobjectives.Thefirst,istocompareHMMwithothermodelswhenusedforpredictionoffinancialtimeseries.WewillshowcomparisonbetweenHMM
4、andothermodelsandalsobetweendifferenttypesofHMM’sasuniquecontributionofthiswork.Inrecentyears,predictionofstockmarketbehaviorbecameafieldofgreatinteresttomanyscientists.Hence,asacasestudy,wewilluseourimplementationandexamineHMMwithMultivariateNormalDistributionandGaussianM
5、ixtureModelinhiddenstates.WeusenearestlikelihoodpredictionalgorithmandcompareresultswithMAPE.Astrainingdataset,wewillusesomepopularstockfromNASDAQandS&P500indexeshistoricaldata.Thesecond,istoshowcaseaworkingsystemwithgenericHMM,advancedtrainingandpredictionalgorithmsimplem
6、entationinC#.Allthecodeisopensourcedascontributiontothecommunity.ThesystemFUTUREWORKallowsresearchersfromdifferentdisciplinestouseHMMandothermodelstosolveclassification,patternrecognitionandpredictiononvariousseriesrepresentedbyk-dimensionalvectorsarraysandawaytocompareand
7、re-usethemodelsundertest.METHODOLOGYREFERENCES[1]J.Han,M.KamberandJ.Pei,Dataminingconceptandtechniques,Elsevier,2011.[2]R.J.ElliottandR.SMamon,HiddenMarkovModelsinFinance,Springer,2010.[3]W.ZucchiniandI.L.MacDonald,HiddenMarkovModelsfortimeseries:anintroductionusingR,CRCPr
8、ess,2009.[4]M.MitzenmacherandE.Upfal,Probabilityandcomputingrandomizedalgorithmsandprobab
