arXiv 21 Oct 2021 · Statistics — Applications
arXiv:2110.11156 · PDF · DOI · OpenAlex · Extracted main text
We introduce three adaptive time series learning methods, called Dynamic Model Selection (DMS), Adaptive Ensemble (AE), and Dynamic Asset Allocation (DAA). The methods respectively handle model selection, ensembling, and contextual evaluation in financial time series. Empirically, we use the methods to forecast the returns of four key indices in the US market, incorporating information from the VIX and Yield curves. We present financial applications of the learning results, including fully-automated portfolios and dynamic hedging strategies. The strategies strongly outperform long-only benchmarks over our testing period, spanning from Q4 2015 to the end of 2021. The key outputs of the learning methods are interpreted during the 2020 market crash.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Paul Fearnhead and Guillem Rigaill (2019) Changepoint Detection in the Presence of Outliers | 0.737 | 3 | 2 | 100% |
| 2 | Andrew C Harvey (2013) Dynamic models for Volatility and Heavy Tails | 0.644 | 2 | 2 | 100% |
| 3 | Rafal Baranowski, Yining Chen, and Piotr Fryzlewicz (2019) Narrowest-over-threshold detection of multiple change points and change-point-like features | 0.644 | 2 | 2 | 100% |
| 4 | Clive WJ Granger (1999) Outline of forecast theory using generalized cost functions | 0.644 | 2 | 2 | 100% |
| 5 | Clive WJ Granger (2002) Some comments on risk | 0.644 | 2 | 2 | 100% |
| 6 | Robert E Whaley (2009) Understanding the VIX | 0.644 | 2 | 2 | 100% |
| 7 | Parley Ruogu Yang (2020) Using the yield curve to forecast economic growth | 0.511 | 2 | 1 | 100% |
| 8 | Andrew W. Lo (2002) The Statistics of Sharpe Ratios | 0.405 | 1 | 1 | 100% |
| 9 | Stefanos Bennett, Mihai Cucuringu, and Gesine Reinert (2022) Lead-lag detection and network clustering for multivariate time series with an application to the US equity market | 0.405 | 1 | 1 | 100% |
| 10 | Philippe Goulet Coulombe (2021) Time-Varying Parameters as Ridge Regressions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 24 scored citations.