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Merging Specialist Region Experts

Tim Scarfe, Alexey Chernov, 
Wouter M. Koolen & Yuri Kalnishkan

Incomplete (working) Paper

This paper introduces a new regression algorithm for on-line
prediction. The algorithm is based on the following idea. A number of
relatively small regions in the past are selected as training sets and
instances of regression algorithms are trained on them. The resulting
algorithms are then merged using techniques of prediction with expert
advice. A new combination of sleeping experts and tracking the best
expert is employed. The method thus constructed avoids both dealing
with large matrices and retraining on the sliding window on every
step. We apply the method to predicting implied volatility of options.

Region Switching

Tim Scarfe,
22 Jan 2015, 19:31