I have time series data for various assets and which I transform to create various features. I have framed the problem as a classification task where I attempt to predict either a positive or negative move above some threshold.
Example: If the next n day returns are above the threshold then label as a one. If below the threshold then a -1. If the threshold is not reached then a 0. (This is inline with much of what I see in the literature)
At this stage I have only investigated an SVM classifier but I am wondering if there are more appropriate models to use? If someone familiar with the literature could please point me to a few models that are common in forecasting financial time series, that would be great!
One idea I have had is the HM-SVM model architecture, am I getting warmer? Are there specific model tricks?