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dc.contributor.advisorTsoi, Allanus Hak-Man, 1955-eng
dc.contributor.authorYin, Pei, 1978-eng
dc.date.issued2007eng
dc.date.submitted2007 Summereng
dc.descriptionThe entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file.eng
dc.descriptionTitle from title screen of research.pdf file (viewed on December 18, 2007)eng
dc.descriptionVita.eng
dc.descriptionThesis (Ph. D.) University of Missouri-Columbia 2007.eng
dc.description.abstractThis work provides a solid development of a hidden Markov model (HMM) from the economic insight to the mathematic formulation. In this model, we assume both drift and volatility of the security return process are driven by certain underlying economic forces which evolve together as a finite-state, time-invariant Markov chain. Unfortunately, this chain is unobservable. Through stochastic filtering techniques and EM algorithm with modified iteration steps, we estimate the state space and transition matrix of the Markov chain, as well as the state spaces of the drift and volatility. With these estimates we can smooth and predict the drift and volatility processes and apply them to the security price prediction. On an empirical level, we first use Monte Carlo simulation to show the robustness of our estimates, and then implement HMM on various data sets of historical prices including: major indices, bonds, mutual funds, common stocks, and ETFs to back test the predicability of the model. Moreover, we compare the applicability of HMM with the well established GARCH(1,1) model, as far as the prediction performance is concerned, our results indicate HMM outperforms GARCH(1,1).eng
dc.description.bibrefIncludes bibliographical referenceseng
dc.identifier.merlinb61534407eng
dc.identifier.oclc184904748eng
dc.identifier.urihttps://doi.org/10.32469/10355/4795eng
dc.identifier.urihttps://hdl.handle.net/10355/4795
dc.languageEnglisheng
dc.publisherUniversity of Missouri--Columbiaeng
dc.relation.ispartofcommunityUniversity of Missouri--Columbia. Graduate School. Theses and Dissertationseng
dc.rightsOpenAccess.eng
dc.rights.licenseThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License.
dc.subject.lcshEstimation theoryeng
dc.subject.lcshStock exchangeseng
dc.subject.lcshRate of returneng
dc.subject.lcshProfiteng
dc.subject.lcshCapital investmentseng
dc.subject.lcshMarkov processeseng
dc.titleVolatility estimation and price prediction using a hidden Markov model with empirical studyeng
dc.typeThesiseng
thesis.degree.disciplineMathematics (MU)eng
thesis.degree.grantorUniversity of Missouri--Columbiaeng
thesis.degree.levelDoctoraleng
thesis.degree.namePh. D.eng


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