by Aymeric Moulin, Jared Vann, Manuela Veloso, Selim Amrouni, Svitlana Vyetrenko, Tucker Balch
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Suggested foundations for financial machine learning. Specialist prerequisites vary by paper.
Preserve time order and avoid future information in training.
Establish an interpretable baseline before a flexible model.
Account for dependence and overlapping observations.
Examine which information contributes to predictions.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.