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The Baum-Welch algorithm provided a way to estimate probabilities and parameters within these complex sequences with little more information than the output of the processes. For the baseball game, the Baum-Welch algorithm might enable even someone with no understanding of the sport to guess the game situations that produced the scores. If there was a sudden jump from two runs to five runs, for example, Baum-Welch might suggest the probability that a three-run home run had just been hit rather than a bases-loaded triple. The algorithm would allow someone to infer a sense of the sport’s rules ...more
The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
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