Yu, Xing; Li, Yanyan; Shen, Xilin; Rao, Yunjie; Liu, Yongjun - In: Borsa Istanbul Review 22 (2022) 6, pp. 1221-1237
Relying on the hidden Markov model improved by the particle swarm optimization algorithm (PSO-HMM), we develop a dual … PSO algorithm to overcome the shortcomings of the traditional algorithm, which can easily fall into the local optima to … measurement and employ the PSO-HMM to identify two market states, bear and bull, and fully illustrate the rationality and …