Note: Overlapping labels 重叠的标签, AI for Trading
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
Validation for Financial Data 金融数据的验证集
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
Cross Validation for Time Series 时间序列数据的交叉验证
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