Implementing Machine Learning for Finance: A Systematic Approach to Predictive Risk and Performance Analysis for Investment Portfolios

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2021

T. C. NokeriImplementing Machine Learning for Financehttps://doi.org/10.1007/978-1-4842-7110-0_4

4. Discover Market Regimes

Tshepo Chris Nokeri¹  

(1)

Pretoria, South Africa

 

This chapter presents a widespread generative probabilistic model called the hidden Markov model (HMM). It covers effective techniques for identifying hidden patterns in time-series data using HMM and generating a sequence of observations. After reading this chapter, you will be able to design and develop a hidden Markov model with a Gaussian process to discover market regimes. To install hmmlearn in the Python environment, use pip install hmmlearn, and in the conda environment, use conda ...