{"id":"https://openalex.org/W7125934781","doi":"https://doi.org/10.1109/smc58881.2025.11343325","title":"A Multi-Hierarchical Hidden Markov Model for Iceberg Orders in Finance","display_name":"A Multi-Hierarchical Hidden Markov Model for Iceberg Orders in Finance","publication_year":2025,"publication_date":"2025-10-05","ids":{"openalex":"https://openalex.org/W7125934781","doi":"https://doi.org/10.1109/smc58881.2025.11343325"},"language":null,"primary_location":{"id":"doi:10.1109/smc58881.2025.11343325","is_oa":false,"landing_page_url":"https://doi.org/10.1109/smc58881.2025.11343325","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2025 IEEE International Conference on Systems, Man, and Cybernetics (SMC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5124098404","display_name":"Tianyi Yu","orcid":null},"institutions":[{"id":"https://openalex.org/I76130692","display_name":"Zhejiang University","ror":"https://ror.org/00a2xv884","country_code":"CN","type":"education","lineage":["https://openalex.org/I76130692"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Tianyi Yu","raw_affiliation_strings":["Zhejiang University,College of Control Science and Engineering,Hangzhou,China,310027"],"affiliations":[{"raw_affiliation_string":"Zhejiang University,College of Control Science and Engineering,Hangzhou,China,310027","institution_ids":["https://openalex.org/I76130692"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5108892992","display_name":"Andi Lu","orcid":null},"institutions":[{"id":"https://openalex.org/I168879160","display_name":"Zhejiang University of Science and Technology","ror":"https://ror.org/05mx0wr29","country_code":"CN","type":"education","lineage":["https://openalex.org/I168879160"]},{"id":"https://openalex.org/I55712492","display_name":"Zhejiang University of Technology","ror":"https://ror.org/02djqfd08","country_code":"CN","type":"education","lineage":["https://openalex.org/I55712492"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Andi Lu","raw_affiliation_strings":["Zhejiang University of Technology,School of Management,Hangzhou,China,310023"],"affiliations":[{"raw_affiliation_string":"Zhejiang University of Technology,School of Management,Hangzhou,China,310023","institution_ids":["https://openalex.org/I55712492","https://openalex.org/I168879160"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5124134382","display_name":"Jiangang Lu","orcid":null},"institutions":[{"id":"https://openalex.org/I168879160","display_name":"Zhejiang University of Science and Technology","ror":"https://ror.org/05mx0wr29","country_code":"CN","type":"education","lineage":["https://openalex.org/I168879160"]},{"id":"https://openalex.org/I55712492","display_name":"Zhejiang University of Technology","ror":"https://ror.org/02djqfd08","country_code":"CN","type":"education","lineage":["https://openalex.org/I55712492"]},{"id":"https://openalex.org/I76130692","display_name":"Zhejiang University","ror":"https://ror.org/00a2xv884","country_code":"CN","type":"education","lineage":["https://openalex.org/I76130692"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jiangang Lu","raw_affiliation_strings":["Zhejiang University,Faculty of College of Control Science and Engineering,Hangzhou,China,310027"],"affiliations":[{"raw_affiliation_string":"Zhejiang University,Faculty of College of Control Science and Engineering,Hangzhou,China,310027","institution_ids":["https://openalex.org/I76130692","https://openalex.org/I55712492","https://openalex.org/I168879160"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5124098404"],"corresponding_institution_ids":["https://openalex.org/I76130692"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.79261772,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"2947","last_page":"2952"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.7660999894142151,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.7660999894142151,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.12269999831914902,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11512","display_name":"Anomaly Detection Techniques and Applications","score":0.013799999840557575,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hidden-markov-model","display_name":"Hidden Markov model","score":0.7638999819755554},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.531000018119812},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.5080000162124634},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4880000054836273},{"id":"https://openalex.org/keywords/forward-algorithm","display_name":"Forward algorithm","score":0.48089998960494995},{"id":"https://openalex.org/keywords/markov-model","display_name":"Markov model","score":0.4593999981880188},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.44999998807907104},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.42419999837875366},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.397599995136261}],"concepts":[{"id":"https://openalex.org/C23224414","wikidata":"https://www.wikidata.org/wiki/Q176769","display_name":"Hidden Markov model","level":2,"score":0.7638999819755554},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6617000102996826},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.531000018119812},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5080000162124634},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4880000054836273},{"id":"https://openalex.org/C196455857","wikidata":"https://www.wikidata.org/wiki/Q5473264","display_name":"Forward algorithm","level":5,"score":0.48089998960494995},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.4659000039100647},{"id":"https://openalex.org/C163836022","wikidata":"https://www.wikidata.org/wiki/Q6771326","display_name":"Markov model","level":3,"score":0.4593999981880188},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.44999998807907104},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.42419999837875366},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.397599995136261},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3898000121116638},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.38749998807907104},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.37959998846054077},{"id":"https://openalex.org/C12481700","wikidata":"https://www.wikidata.org/wiki/Q47568","display_name":"Iceberg","level":3,"score":0.37290000915527344},{"id":"https://openalex.org/C2776760102","wikidata":"https://www.wikidata.org/wiki/Q5139990","display_name":"Code (set theory)","level":3,"score":0.3720000088214874},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.36980000138282776},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.36649999022483826},{"id":"https://openalex.org/C64939953","wikidata":"https://www.wikidata.org/wiki/Q3859882","display_name":"Hidden semi-Markov model","level":5,"score":0.33489999175071716},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.33239999413490295},{"id":"https://openalex.org/C89611455","wikidata":"https://www.wikidata.org/wiki/Q6804646","display_name":"Mechanism (biology)","level":2,"score":0.3310000002384186},{"id":"https://openalex.org/C114118609","wikidata":"https://www.wikidata.org/wiki/Q3036837","display_name":"Market data","level":2,"score":0.32019999623298645},{"id":"https://openalex.org/C133488467","wikidata":"https://www.wikidata.org/wiki/Q6673524","display_name":"Long short term memory","level":4,"score":0.2955000102519989},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.2937000095844269},{"id":"https://openalex.org/C2780801425","wikidata":"https://www.wikidata.org/wiki/Q5164392","display_name":"Construct (python library)","level":2,"score":0.28610000014305115},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.2793000042438507},{"id":"https://openalex.org/C27564746","wikidata":"https://www.wikidata.org/wiki/Q913709","display_name":"Market research","level":2,"score":0.2662999927997589}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/smc58881.2025.11343325","is_oa":false,"landing_page_url":"https://doi.org/10.1109/smc58881.2025.11343325","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2025 IEEE International Conference on Systems, Man, and Cybernetics (SMC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W2002070084","https://openalex.org/W2131366116","https://openalex.org/W2613328025","https://openalex.org/W2998010409","https://openalex.org/W3029901419","https://openalex.org/W3112330479","https://openalex.org/W3121910916","https://openalex.org/W3173748501","https://openalex.org/W4283805364","https://openalex.org/W4285607140","https://openalex.org/W4313530013","https://openalex.org/W4392162332"],"related_works":[],"abstract_inverted_index":{"Iceberg":[0],"orders,":[1],"which":[2],"involve":[3],"splitting":[4],"large":[5],"financial":[6,72,113],"orders":[7,102],"into":[8],"smaller":[9],"batches":[10],"to":[11,18,48,52],"conceal":[12],"trading":[13,39,118],"intent,":[14],"pose":[15],"significant":[16],"challenges":[17],"market":[19,105,114],"stability.":[20],"To":[21],"address":[22],"this":[23],"challenge,":[24],"we":[25],"propose":[26],"a":[27,44,109],"Multi-Hierarchical":[28],"Hidden":[29],"Markov":[30],"Model":[31],"(MH-HMM)":[32],"that":[33,82,96],"captures":[34],"multi-scale":[35],"stochastic":[36],"states":[37],"in":[38],"sequences.":[40],"The":[41],"model":[42],"employs":[43],"layered":[45],"stacking":[46],"mechanism":[47,61],"enhance":[49],"its":[50],"ability":[51],"detect":[53],"hidden":[54],"order":[55],"patterns":[56],"and":[57,74,103,116],"incorporates":[58],"an":[59],"attention":[60],"for":[62,112],"adaptive":[63],"temporal":[64],"input":[65],"selection.":[66],"Comprehensive":[67],"experiments":[68,94],"on":[69,90],"three":[70],"realistic":[71],"datasets":[73,80],"twenty":[75],"multivariate":[76],"time":[77],"series":[78],"classification":[79],"demonstrate":[81,95],"the":[83,87],"proposed":[84],"MH-HMM":[85],"outperforms":[86],"state-of-the-art":[88],"benchmarks":[89],"most":[91],"datasets.":[92],"Effectiveness":[93],"our":[97],"approach":[98],"effectively":[99],"identifies":[100],"iceberg":[101],"improves":[104],"trend":[106],"prediction,":[107],"providing":[108],"valuable":[110],"tool":[111],"analysis":[115],"algorithmic":[117],"strategies.":[119],"Code":[120],"is":[121],"available":[122],"at":[123],"https://github.com/tenyee-space/FinRL_MHHMM/tree/main.":[124]},"counts_by_year":[],"updated_date":"2026-01-29T23:17:01.242718","created_date":"2026-01-29T00:00:00"}