https://github.com/lemniscate-world/hmmalgo
The HMM-Based Asset Analysis project aims to provide a comprehensive tool for analyzing financial assets through the use of Hidden Markov Models (HMM). By leveraging historical asset data, the project identifies different market regimes and patterns, helping investors and analysts make informed decisions.
https://github.com/lemniscate-world/hmmalgo
Last synced: 7 months ago
JSON representation
The HMM-Based Asset Analysis project aims to provide a comprehensive tool for analyzing financial assets through the use of Hidden Markov Models (HMM). By leveraging historical asset data, the project identifies different market regimes and patterns, helping investors and analysts make informed decisions.
- Host: GitHub
- URL: https://github.com/lemniscate-world/hmmalgo
- Owner: Lemniscate-world
- License: mit
- Created: 2025-01-10T17:12:46.000Z (9 months ago)
- Default Branch: main
- Last Pushed: 2025-01-18T20:18:58.000Z (9 months ago)
- Last Synced: 2025-03-23T05:20:24.067Z (7 months ago)
- Language: Python
- Homepage:
- Size: 3.91 KB
- Stars: 1
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
# HMM-Based Asset Analysis
This project analyzes financial assets using a Hidden Markov Model (HMM) to identify different market regimes and patterns. The analysis includes calculating daily returns, rolling volatility, and volume changes, and visualizing the hidden states identified by the HMM.
## Features
- Fetches historical asset data using yfinance
- Calculates daily returns, rolling volatility, and volume changes
- Cleans the data by handling NaN and infinite values
- Standardizes the data using StandardScaler
- Fits a Gaussian HMM model with 4 hidden states
- Predicts hidden states and adds them to the original data
- Plots hidden states against asset prices for visualization
## Installation
1. **Clone the Repository**:
```sh
git clone https://github.com/your-repo/hmm-based-asset-analysis.git
cd hmm-based-asset-analysis
```
2. **Install Dependencies**:
```sh
pip install -r requirements.txt
```
## Usage
To run the analysis, use the following command:
```sh
python hmmAlgo.py --ticker --start_date --end_date --plotter
```
Replace ``, ``, ``, and `` with appropriate values. For example:
```sh
python hmmAlgo.py --ticker AAPL --start_date 2020-01-01 --end_date 2021-01-01 --plotter line
```
## Example Output
After running the analysis, you will see visualizations of hidden states against asset prices.
## License
This project is licensed under the MIT License. See the [LICENSE](LICENSE) file for details.
## Acknowledgements
I would like to thank the contributors of the following libraries and tools that made this project possible:
- [yfinance](https://github.com/ranaroussi/yfinance)
- [hmmlearn](https://github.com/hmmlearn/hmmlearn)
- [matplotlib](https://matplotlib.org/)
- [scikit-learn](https://scikit-learn.org/)