I am curious if anyone has had much experience attempting to predict random walks using Loess regression or a variant of local statistical methods.
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$\begingroup$ It is used in the fitting of volatility surface (local volatility), so you can find some applications there. $\endgroup$– Magic is in the chainMay 30 '20 at 16:41
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$\begingroup$ a pure random walk cannot be predicted any better than simply taking the last value. So statically any other means would increase both bias and variance. $\endgroup$– Will GuJun 1 '20 at 17:15
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