[bfrink]

There are about 30,000 institutionally-investable stocks in the world. They have ~252 closing prices per year. This is the thing you're trying to predict, so it forms the outputs of your training set (be sure to hold some back for out-of-sample testing and there are probably distinct regimes you need to switch between). Yes, there may be lots of features (weather, geo populations, etc., as you point out), but you're often hard up against the curse of dimensionality here. Sure, intraday data is more voluminous, but there are fewer economically reasonable influences on that.

[mathperson]

Also commodities, forex...

[lordnacho]

That only adds a few dozen items. There's only so many currencies and commods, bonds. Even if you include really illiquid stuff maybe you get 150 things.

[JumpCrisscross]

> There's only so many currencies and commods, bonds

Currencies are traded in pairs. Bonds are numerous, if illiquid off the run. Not to mention the bursting menagerie of derivatives our species tends to.

[lordnacho]

Highly correlated. I mean you can add option surfaces, but to count each option as separate is a stretch.