DoubleEnsemble: A New Ensemble Method Based on Sample Reweighting and Feature Selection for Financial Data Analysis

ICDM, pp. 781-790, 2020.

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Abstract:

Modern machine learning models (such as deep neural networks and boosting decision tree models) have become increasingly popular in financial market prediction, due to their superior capacity to extract complex non-linear patterns. However, since financial datasets have very low signal-to-noise ratio and are non-stationary, complex mode...More

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