by Pengyu Wei, Wei Wei, Xiaole Xue, Yunfei Peng
Continue on SelfMadeQuant
Suggested foundations for financial machine learning and optimisation and numerical methods. Specialist prerequisites vary by paper.
Preserve time order and avoid future information in training.
Establish an interpretable baseline before a flexible model.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Account for dependence and overlapping observations.
Examine which information contributes to predictions.
Understand identifiability and fitted model parameters.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.