Technology for predicting online user shopping behavior, such as whether a user will purchase a product, is described. An example method includes receiving current session data describing a current session for a current user, extracting a current clickstream from the current session data classifying the current clickstream as a purchase clickstream or a non-purchase clickstream by processing the current clickstream using one or more sets of Hidden Markov Model parameters produced by one or more Hidden Markov Models, and computing, using the one or more computing devices, a purchase probability that the current user will purchase a product during the current session based on the classifying.