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

2013.

Research output: Working paper

Unpublished

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@techreport{91af96b7838347cc8aa98db9d610cd46,
title = "Merging Time Series with Specialist Experts",
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.",
keywords = "time-series, on-line regression, financial options",
author = "Tim Scarfe and Yuri Kalnishkan",
year = "2013",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Merging Time Series with Specialist Experts

AU - Scarfe, Tim

AU - Kalnishkan, Yuri

PY - 2013

Y1 - 2013

N2 - 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.

AB - 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.

KW - time-series

KW - on-line regression

KW - financial options

M3 - Working paper

BT - Merging Time Series with Specialist Experts

ER -