Merging Time Series with Specialist Experts. / Scarfe, Tim; Kalnishkan, Yuri.

2013.

Research output: Working paper

Unpublished

Documents

Abstract

The paper describes an application of specialist experts techniques to prediction with side information. We pick vicinities in the side information domain to create elementary time series, use standard prediction techniques to predict for those elementary series, and then merge the predictions using specialist experts methods. Prediction with expert advice bounds ensure that optimal vicinities are selected dynamically. The algorithm is tested on the problem of predicting implied volatility of options and proves to be a viable alternative to on-line regression.
Original languageEnglish
Number of pages16
Publication statusUnpublished - 2013
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

ID: 24367982