Machine learning in finance
Where machine learning helps on financial data, where it overfits, and the protocols that tell the two apart.
9 notes
A Backtesting Protocol for the Machine Learning Era
Can Machines Learn Finance? The Sober Answer
Conformal Prediction: Intervals With a Guarantee and No Distributional Assumption
Deep Learning on the Order Book, and Why It Does Not Apply Here
Machine Learning in Finance: Which Textbook Answers Which Question
The Virtue of Complexity Debate: More Parameters Than Observations
Two Cultures, and No Free Lunch
Variable Importance Is Biased, and Permutation Extrapolates
When Cross-Validation Is Valid on Time Series, and When It Is Not