Kim, Eun-chong; Jeong, Han-wook; Lee, Nak-young - In: Journal of risk and financial management : JRFM 12 (2019) 4/168, pp. 1-12
This study uses the hidden Markov model (HMM) to identify the phases of individual assets and proposes an investment strategy using price trends effectively. We conducted empirical analysis for 15 years from January 2004 to December 2018 on universes of global assets divided into 10 classes and...