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Tag: hidden-markov-model
46 items with this tag.
May 22, 2026
Live Regime-Model Evidence Gap
regime-switching
hidden-markov-model
markov-chain
live-trading
profitability-claim
backtest
May 22, 2026
Maximum Likelihood Estimation
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
Median Filter Smoothing
regime-switching
hidden-markov-model
transaction-costs
out-of-sample
May 22, 2026
Recent Developments 2024-2025
regime-switching
hidden-markov-model
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
overfitting-risk
replication
academic-paper
May 22, 2026
Regime Classification
regime-switching
hidden-markov-model
trading-strategy
out-of-sample
transaction-costs
May 22, 2026
Steelman — Best Case for Markov Trading Models
regime-switching
hidden-markov-model
markov-chain
reinforcement-learning
profitability-claim
out-of-sample
transaction-costs
academic-paper
replication
May 22, 2026
Volatility Regime
regime-switching
hidden-markov-model
equities
May 22, 2026
Cryptocurrency Market
crypto
reinforcement-learning
regime-switching
hidden-markov-model
overfitting-risk
backtest
transaction-costs
trading-strategy
May 22, 2026
DAX
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
Nikkei 225
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
S&P 500
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
Baum-Welch Estimation
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
Forward-Backward Algorithm
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
Hidden Markov Model Regime Detection
model
markov
trading-research
hidden-markov-model
regime-switching
out-of-sample
transaction-costs
overfitting-risk
equities
academic-paper
May 22, 2026
Hidden Semi-Markov Model
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
academic-paper
May 22, 2026
Markov Regime-Switching Model
model
markov
trading-research
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
overfitting-risk
academic-paper
equities
May 22, 2026
Neural Regime Model
model
hidden-markov-model
regime-switching
reinforcement-learning
backtest
out-of-sample
overfitting-risk
academic-paper
May 22, 2026
Statistical Jump Model
model
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
crypto
academic-paper
May 22, 2026
Viterbi Decoding
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
CFA Institute
academic-paper
regime-switching
hidden-markov-model
trading-strategy
May 22, 2026
State Street Associates
regime-switching
hidden-markov-model
trading-strategy
May 22, 2026
Identifying patterns in financial markets: extending the statistical jump model for regime identification
academic-paper
regime-switching
hidden-markov-model
replication
May 22, 2026
Simplicity versus Complexity: A Comparative Analysis of HMM and HSMM for Regime-Based Asset Allocation
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
Bosancic Nie Mulvey 2024
academic-paper
regime-switching
hidden-markov-model
equities
profitability-claim
May 22, 2026
Markov-switching Asset Allocation: Do Profitable Strategies Exist?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
May 22, 2026
Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
academic-paper
regime-switching
hidden-markov-model
crypto
May 22, 2026
Why Do Regime-Switching Models Forecast So Badly?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
forex
overfitting-risk
May 22, 2026
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
academic-paper
regime-switching
markov-chain
hidden-markov-model
May 22, 2026
Feature selection in jump models
academic-paper
regime-switching
hidden-markov-model
replication
May 22, 2026
Learning hidden Markov models with persistent states by penalizing jumps
academic-paper
regime-switching
hidden-markov-model
transaction-costs
replication
May 22, 2026
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
commodities
May 22, 2026
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
May 22, 2026
Dynamic Factor Allocation Leveraging Regime-Switching Signals
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
profitability-claim
May 22, 2026
Regime-Switching Factor Investing with Hidden Markov Models
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
James D. Hamilton
regime-switching
markov-chain
hidden-markov-model
academic-paper
May 22, 2026
John Mulvey
regime-switching
hidden-markov-model
trading-strategy
May 22, 2026
Mark Kritzman
regime-switching
hidden-markov-model
trading-strategy
academic-paper
May 22, 2026
Peter Nystrup
regime-switching
hidden-markov-model
academic-paper
May 22, 2026
Petter Kolm
regime-switching
hidden-markov-model
academic-paper
May 22, 2026
HMM Parameter Instability
hidden-markov-model
regime-switching
transition-instability
overfitting-risk
out-of-sample
May 22, 2026
Lookahead Bias from Smoothed Regime Estimates
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
backtest
May 22, 2026
Regime Misclassification
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
May 22, 2026
State-Count Selection
hidden-markov-model
regime-switching
model-risk
overfitting-risk
out-of-sample
May 22, 2026
0-1 Strategy
regime-switching
trading-strategy
hidden-markov-model
out-of-sample
May 22, 2026
Regime-Based Asset Allocation
trading-strategy
regime-switching
hidden-markov-model
transaction-costs
out-of-sample
equities
May 22, 2026
Style Factor Rotation
regime-switching
hidden-markov-model
trading-strategy
equities
profitability-claim