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Beating a Market Index with a Statistical Allocation Strategy
Traditional stock market indexes such as the Dow Jones Industrial Average, the S&P 500, and the Euro Stoxx 50 rely on static, rule-based weighting methods-typically based on market capitalization or share price-that may lead to structural inefficiencies and ...
Pairwise Markov Chains for Volatility Forecasting
The Pairwise Markov Chain (PMC) is a probabilistic graphical model extending the well-known Hidden Markov Model. This model, although highly effective for many tasks, has been scarcely utilized for continuous value prediction. This is mainly due to the issue of modeling observations inherent in generative probabilistic models. In this paper, we introduce a new algorithm for prediction with the PMC. On the one hand, ...
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