Markov Chains and the Markov Property foundational
How a state representation can compress history into current conditions, and why that matters for regime models and decision processes.
How a state representation can compress history into current conditions, and why that matters for regime models and decision processes.
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References
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
James D. Hamilton
(1989)
— Econometrica
Recent Advances in Reinforcement Learning in Finance
Ben Hambly, Renyuan Xu, Huining Yang
(2023)