Rogemar S. Mamon

An automated financial indices-processing scheme for classifying market liquidity regimes

Matt Davison, Hao Yu, Xing Gu, 2019, Int. J. Control.

Hidden Markov Models In Finance

Rogemar S. Mamon, R. Elliott, R. Mamon, 2007 .

Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity

Rogemar S. Mamon, R. Mamon, 2014 .