A correct classification of financial products represents the essential step to achieve optimal investment decisions. The first goal in portfolio analysis should be the allocation of each asset into a class which groups investments with an homogenous risk-return profile. We address this objective by means of latent Markov models, which also provide the probabilities of switching between the different phases of financial markets. Our results allow both to discriminate the stock’s performance following a powerful classification approach and to assess the stock’s future dynamics.

M. Costa, L. De Angelis (2009). A dynamic analysis of stock markets through latent Markov models. PADOVA : CLEUP.

A dynamic analysis of stock markets through latent Markov models

COSTA, MICHELE;DE ANGELIS, LUCA
2009

Abstract

A correct classification of financial products represents the essential step to achieve optimal investment decisions. The first goal in portfolio analysis should be the allocation of each asset into a class which groups investments with an homogenous risk-return profile. We address this objective by means of latent Markov models, which also provide the probabilities of switching between the different phases of financial markets. Our results allow both to discriminate the stock’s performance following a powerful classification approach and to assess the stock’s future dynamics.
2009
Classification and Data Analysis 2009
379
382
M. Costa, L. De Angelis (2009). A dynamic analysis of stock markets through latent Markov models. PADOVA : CLEUP.
M. Costa; L. De Angelis
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/77451
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