Enhancing Mean-Reverting Time Series Prediction with Gaussian Processes
Stats
GPs offer the potential to forecast not just the average prediction but the entire probability distribution over a future trajectory.
GPs allow for forecasting of multiple Sharpe ratios adjusted for transaction costs.
The experiments demonstrate the effectiveness of the functional and augmented data representations.
By simulating data, the study reduces inherent uncertainty in testing time series models on real data.
Quotes
"GPs offer the potential to forecast not just the average prediction but the entire probability distribution over a future trajectory."
"GPs allow for forecasting of multiple Sharpe ratios adjusted for transaction costs."
"The experiments demonstrate the effectiveness of the functional and augmented data representations."
"By simulating data, we can compare our forecast distribution over time against a full simulation of the actual distribution of our test set."