Market forecasting using Hidden Markov Models

Abstract

Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different financial time series depending on their structure. Subsequently, we analyse the forecasting methods exposed in the previous literature, putting on evidence their pros and cons.

This paper has been withdrawn by the author due to many errors and not very precise results