Reading list: Predicting stock prices with HMMs

I stumbled on the scikit-learn HMM toolkit and thought I'd share some reading materials on HMMs. I personally dislike models that require a lot of hyperparameters (or a least some set of hyperparemeters that are hard to guess a priori, like the number of states), but that said I like the HMM's ability to abstract the state of a random process.
I would love to play with these in other contexts too...
Most of these papers came from a Bing search: