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Hidden Markow Model

addcapital

Joined
4/15/13
Messages
12
Points
11
Hi There,

I am working on Hidden Markow Model and after looking at theory part now I would like to implement this model.

I am stuck on how to implement this using VBA, I have searched a lot but with no luck so far.

Can someone point out online tutor link or reference point for implementing this using VBA.

Thanks
 
I dint get your question. What are you specifically looking for ... A library to do the EM alogrithm for you or what
 
Hi, I am looking out for VBA code to perform HMM, Since using library in VBA seems difficult.
 
I attempted to implement a hidden markov model as I found them really interesting.

My take, this is one of the strategies where you really need proficient coding skills. I got stuck at the part of using dynamic programming to update the transition probabilities. If I recall correctly, there are a bunch of variables flying around - transition probabilities, observable states, hidden states, observable probabilities. Soon enough, you'll face the problem of calculations being intractable and thus need slightly more advance algorithms to do the calculations.

My idea was to detect strong or weak breakouts by using the HMM to predict the most probable next market state in 5 mins but breakthrough the levels defined by 60 mins. You can do the converse - breakout levels defined in 5 mins and confirm breakouts using probable market state in 60 mins.

So many combinations!
 
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