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It's worth noting that prediction algorithms in the Machine Learning literature, if stated formally, usually come with the assumption that the data points are sampled i.i.d. from some distribution. This distribution is badly violated when the predictions are used to take actions in the real world that affect future data. For example, one might observe an ...


All of these papers involve some kind of bias. @Alex pointed out rightly, they assume data is known in advance. Further model is tested on the same data on which it is being run. In reality, there is no such algorithm and strategy exist that can consistently outperform the market. Market is always very close to efficient. If someone able to find algorithm to ...


I solved the problem. The implementation which I was using from Mathworks is not very robust and has particular problems at the endpoint. After some more googling I found this other implementation which is much more robust and provide me with correct results of HHT.

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