Predicting Daily Probability Distributions of S&p500 Returns

@inproceedings{Weigend1998PredictingDP,
  title={Predicting Daily Probability Distributions of S&p500 Returns},
  author={Andreas S. Weigend},
  year={1998}
}
Most approaches in forecasting merely try to predict the next value of the time series. In contrast, this paper presents a framework to predict the full probability distribution. It is expressed as a mixture model: the dynamics of the individual states is modeled with so-called \experts" (potentially nonlinear neural networks), and the dynamics between the states is modeled using a hidden Markov approach. The full density predictions are obtained by a weighted superposi-tion of the individual… CONTINUE READING
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