Stocks-Crisis-Estimation-by-Hidden-Markov-Model
This project tried to fit stocks historical returns into Hidden Markov Gaussian Mixture Models so that we can estimate market's rare event probability
General.R: compute the statistical analysis of stocks' historical returns.
Run6Stocks20y.R and Run6Stocks40y.R: fit 20-year data and 40-year data into Gaussian Mixture model and Hidden Markov Model and compare the simulation result with the real data.
TwoDays20y.R and TwoDays40y.R: fit data into two-day-dependent Hidden Markov Model and compare the simulation result with the real data.
DailyReturnPercent20y.csv and DailyReturnPercent40y.csv: data