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Keywords: Second-order hidden Markov model
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu 1–22.
Published: 11 September 2026
.... IMUGI is a three-layer probabilistic architecture comprising: (1) a Second-Order Hidden Markov Model (SOHMM) with Student-t emissions and Missing-Not-At-Random (MNAR) handling for latent regime inference; (2) a Quadratic Hawkes process for endogenous feedback and extreme-return clustering; and (3...
Includes: Supplementary data
