scholarly journals MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL

2013 ◽  
Vol 29 (5) ◽  
pp. 825-842 ◽  
Author(s):  
Yong Song
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Regime Switching ◽  
Structural Breaks ◽  
Hidden Markov

scholarly journals Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model

Risks ◽  
2019 ◽  
Vol 7 (2) ◽  
pp. 66
Author(s):  
Ioannis Anagnostou ◽  
Drona Kandhai
Keyword(s):  
Markov Model ◽  
Credit Risk ◽  
Exchange Rates ◽  
Hidden Markov Model ◽  
Regime Switching ◽  
Hidden Markov ◽  
Numerical Study ◽  
Commodity Prices ◽  
Counterparty Credit Risk ◽  
The Impact

One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads. Geometric Brownian Motion (GBM) is a widely used method for modeling the evolution of exchange rates. An important limitation of GBM is that, due to the assumption of constant drift and volatility, stylized facts of financial time-series, such as volatility clustering and heavy-tailedness in the returns distribution, cannot be captured. We propose a model where volatility and drift are able to switch between regimes; more specifically, they are governed by an unobservable Markov chain. Hence, we model exchange rates with a hidden Markov model (HMM) and generate scenarios for counterparty exposure using this approach. A numerical study is carried out and backtesting results for a number of exchange rates are presented. The impact of using a regime-switching model on counterparty exposure is found to be profound for derivatives with non-linear payoffs.

Auscultating Diagnosis for Hemodialysis Shunt Stenosis using a Self-Organizing Map and Hidden Markov Model

2012 ◽  
Vol 132 (10) ◽  
pp. 1589-1594 ◽  
Author(s):  
Hayato Waki ◽  
Yutaka Suzuki ◽  
Osamu Sakata ◽  
Mizuya Fukasawa ◽  
Hatsuhiro Kato
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Self Organizing Map ◽  
Self Organizing

Engaging Voluntary Contributions in Online Communities: A Hidden Markov Model

MIS Quarterly ◽  
2018 ◽  
Vol 42 (1) ◽  
pp. 83-100 ◽  
Author(s):  
Wei Chen ◽  
◽  
Xiahua Wei ◽  
Kevin Xiaoguo Zhu ◽  
◽  
...  
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Online Communities ◽  
Hidden Markov ◽  
Voluntary Contributions

Implementation of Android Based Speech Recognition for Indonesian Geography Dictionary

2016 ◽  
Vol 7 (2) ◽  
pp. 76-82
Author(s):  
Hugeng Hugeng ◽  
Edbert Hansel
Keyword(s):  
Speech Recognition ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Spoken Word ◽  
Silent Condition ◽  
Word Detection ◽  
Index Terms ◽  
To Receive ◽  
Noisy Condition

We have built an application of speech recognition for Indonesian geography dictionary based on Android operating system, named GAIA. This application uses a smartphone as a device to receive input in the form of a spoken word from a user. The approach used in recognition is Hidden Markov Model which is contained in the Pocketsphinx library. The phonemes used are Indonesian phonemes’ rule. The advantage of this application is that it can be used without internet access. In the application testing, word detection is done with four conditions to determine the level of accuracy. The four conditions are near silent, near noisy, far silent, and far noisy. From the testing and analysis conducted, it can be concluded that GAIA application can be built as a speech recognition application on Android for Indonesian geography dictionary; with the results in the near silent condition accuracy of word recognition reaches an average of 52.87%, in the near noisy reaches an average of 14.5%, in the far silent condition reaches an average of 23.2%, and in the far noisy condition reaches an average of 2.8%. Index Terms—speech recognition, Indonesian geography dictionary, Hidden Markov Model, Pocketsphinx, Android.

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