Quantpedia· sona.beluska@quantpedia.com·· 6 days agoAI Score71
Is longer historical training useful? Pitfalls of market state HMM and out-of-sample evaluation
Does More History Help? A Market-Regime HMM and the Trouble with Out-of-Sample Evaluation
AI summary
Quantpedia released a study comparing four four-state Gaussian HMMs that only differ in training start year (1970, 1980, 1990, 2000), evaluating market state recognition performance on the same 2010-2023 test set.
Source:Quantpedia · quantpedia.com
Options and VolatilityMachine LearningRisk ManagementBacktesting MethodsPortfolio ConstructionPaper Research#Papers / Research#Machine Learning#Volatility#Risk Management#Backtesting#Portfolio Construction