no code implementations • 28 Mar 2021 • Pier Francesco Procacci, Tomaso Aste
Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy.
no code implementations • 13 Jul 2018 • Pier Francesco Procacci, Tomaso Aste
In another experiment, with again one hundred log-returns and two states, we demonstrate that this procedure can be efficiently used to forecast off-sample future market states with significant prediction accuracy.