by Fei Yu, Hao Chen, Hao Qian, Hongting Zhou, Hongxiang Yao, Jingwei Wang, Jun Zhou, Qian Zhao, Zhiqiang Zhang, Ziqi Liu
Continue on SelfMadeQuant
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.