unique_ptr

问题重叠标签(overlapping labels)问题是使用金融数据训练预测模型遇到的一个问题。如下图所示，假设我们要训练一个模型预测未来一周的收益，最简单的情况下我们会用某一天T的后一周连续收益作为训练的标签(label, i.e. 那个y)。这样每天的样本例子都有一个未来一周的label对应。但由于金融数据有自相关性，连续几天的label通常是相互关联的——这就和大多数机器学习模型的假设冲突

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Furthermore, when working with financial data, we can bring practitioners' knowledge of markets and financial data to bear on our validation procedures. We know that since markets are competitive, fac

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Methods for choosing training, testing and validation sets for time-series data work a little differently than the methods described so far. The main reasons we cannot use the previously described met

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