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    Hidden Markov models and their applications in finance by Πετρόπουλος, Αναστάσιος

    Published 2015
    “…They belong to the stochastic mixture models family and have been broadly implemented in numerous sectors to address the problem of data model fitting and forecasting. Their structure usually is comprised by an observed sequence which is conditioned on an underlying hidden (unobserved) process. …”
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