03408ntm a22005777i 4500 000701684 CZ-PrVSE 20230916110919.0 m d cr n|||||||||| 230916s2023 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Pešek, Adam ISIS:133699 dis Obchodování na kryptoměnových trzích pomocí Hidden Markov Models eng Hidden Markov Models for Cryptocurrency Trading / Adam Pešek 2023 ?? stran : digital, PDF soubor Vedoucí práce: Milan Fičura Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2023 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2023 Hidden Markov models is a statistical signal prediction model for sequential data, which has been widely used, among else, to predict economic regimes and stock prices. In this work, we introduce the application of various extensions of classical Hidden Markov Models in cryptocurrency trading based on the market state predictions. We first introduce the basic concepts of Hidden Markov Models and the Baum-Welch algorithm for parameter estimation along with the Viterbi algorithm for state prediction. We consider several models with different assumptions on the distribution of the observations, including the Categorical, Gaussian and Gaussian-Mixture Model. Furthermore, we present the theory and application behind Hidden semi-Markov Models and Parametric Hidden Markov Models. Having estimated the model parameters on historical data, we then apply the models to predict the market regimes of the cryptocurrency market and use these predictions alongside predefined trading strategies to trade on the Binance spot market. Lastly, we evaluate the performance of the models based on their average total return on multiple sequences and compare it return with the benchmark strategy of buy-and-hold. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas hidden semi markov models markov process markov renewal process semi markov process expectation maximization algorithm baum welch algorithm gaussian mixture model contextual hidden markov model hidden markov models cryptocurrency trading Fičura, Milan vse2015859798 ths Janda, Karel xx0053102 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/77113/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/77113 Hlavní práce https://insis.vse.cz/zp/77113/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/77113/posudek/oponent/80175 Oponentura https://insis.vse.cz/zp/77113/podrobnosti dc:identifier NEPOSILAT VSKP vse77113 230915 77113