Augmented Functional Time Series Representation and Forecasting with Gaussian Processes

We introduce a functional representation of time series which allows forecasts to be performed over an unspecified horizon with progressively-revealed information sets. By virtue of using Gaussian processes, a complete covariance matrix between forecasts at several time-steps is available. This information is put to use in an application to actively trade price spreads between commodity futures contracts. The approach delivers impressive out-of-sample risk-adjusted returns after transaction costs on a portfolio of 30 spreads.

• Type: Conference
• Year: 2007
• Where: NIPS
• Authors: Nicolas Chapados, Yoshua Bengio
• Keywords: Commodity Futures Contracts, Complete Covariance Matrix, Information Technology, NIPS 2007, Out-of-sample Risk-adjusted Returns