One of our famous mathematicians, James Simons, used an extension of the Baum-Welch algorithm to 'crack' the wall street when he started trading on the stock market. Now, as Google, all informations his team used to trade are hidden to the public. I would like to do such thing, but it'll be very hard.
Question : What are the advantages and disadvantages to use such algorithm (i.e., Baum-Welch algo.)? Could it be efficient? Could we really predict the market with that kind of algorithm?
Thanks!