笔记 – Tree-based models with financial data, AI for Trading

Importance of Random Column Selection / 随机列选择的重要性 Sometimes one feature will dominate in finance. If you don’t apply some type of random feature selection, then your trees will not be that different (i.e., will be correlated) and that reduces the benefit of ensembling.有时,一项特征将在财务数据中占主导地位。 如果您不应用某种类型的随机特征选择,那么您的树将不会有太大的不同(即, 他们之间的相关性太高),从而降低了集成(ensembling)的好处。 What features are typically dominant? Classical, price-driven factors, like mean…