Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification
Sign Up to like & getrecommendations! Published in 2025 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-025-10148-8
Abstract: We combine a hidden Markov model (HMM) and a kernel machine (SVM/MKL) into a hybrid HMM-SVM/MKL generative-discriminative learning approach to accurately classify high-frequency financial regimes and predict the direction of trades. We capture temporal dependencies… read more here.
Keywords: classification; methodology; frequency financial; generative discriminative ... See more keywords
Modeling non-stationarities in high-frequency financial time series
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.01.069
Abstract: We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. However, scaling properties reported in the previous literature for other high-frequency… read more here.
Keywords: high frequency; non stationarities; model; frequency financial ... See more keywords