From: https://medium.com/analytics-vidhya/hidden-markov-model-a-statespace-probabilistic-forecasting-approach-in-quantitative-finance-df308e259856 Hidden Markov Models (HMM) are proven for their ability to predict and analyze time-based phenomena and this makes them quite useful in financial market prediction. HMM can be considered mix of Brownian movements consisting of hidden layers and observed layers and comprising of sequence of events. In quantitative finance, the states of a system can … Continue reading Hidden Markov Model- A Statespace Probabilistic Forecasting Approach in Quantitative Finance →