文档介绍：Master’s Thesis
Algorithmic Trading
Hidden Markov Models on Foreign Exchange Data
Patrik Idvall, Conny Jonsson
LiTH - MAT - EX - - 08 / 01--SE
Algorithmic Trading
Hidden Markov Models on Foreign Exchange Data
Department of Mathematics, Link¨opings Universitet
Patrik Idvall, Conny Jonsson
LiTH - MAT - EX - - 08 / 01--SE
Master’s Thesis: 30 hp
Level: A
Supervisor: J. Blomvall,
Department of Mathematics, Link¨opings Universitet
Examiner: J. Blomvall,
Department of Mathematics, Link¨opings Universitet
Link¨oping: January 2008
Datum
Avdelning, Institution
Date
Division, Department
Matematiska Institutionen January 2008
581 83 LINKOPING¨
SWEDEN
Sprak˚ Rapporttyp ISBN
Language Report category
ISRN
Svenska/Swedish Licentiatavhandling
LiTH-MAT-EX--08/01--SE
x Engelska/English x Examensarbete
C-uppsats Serietitel och serienummer ISSN
D-uppsats Title of series, numbering
Ovrig¨ rapport
URL for¨ elektronisk version
?urn=urn:nbn:se:liu:diva-10719
Titel Algorithmic Trading – Hidden Markov Models on Foreign Exchange Data
Title
Forfattare¨ Patrik Idvall, Conny Jonsson
Author
Sammanfattning
Abstract
In this master’s thesis, hidden Markov models (HMM) are evaluated as a tool for forecasting movements in a currency
cross. With an ever increasing electronic market, making way for more automated trading, or so called algorithmic
trading, there is constantly a need for new trading strategies trying to find alpha, the excess return, in the market.
HMMs are based on the well-known theories of Markov chains, but where the states are assumed hidden, governing
some observable output. HMMs have mainly been used for speech recognition munication systems, but have
lately also been utilized on financial time series with encouraging results. Both discrete and continuous versions of
the model will be tested, as well as single- and multivariate input data.
In addition to the basic framework, two exten