Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes. - Anton Tenyakov; Rogemar S. Mamon; Matt Davison 001 (IEEE J. Sel. Top. Signal Process., 2016)

Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach. - Anton Tenyakov; Rogemar S. Mamon; Matt Davison 001 (Knowl. Based Syst., 2016)

A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach. - Anton Tenyakov; Rogemar S. Mamon (J. Big Data, 2017)