DMS, AE, DAA: methods and applications of adaptive time series model selection, ensemble, and financial evaluation. (arXiv:2110.11156v3 [stat.AP] UPDATED)

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 …

ae applications arxiv ensemble evaluation financial model selection series time time series