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by rademacher
2781 days ago
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These types of experiments pop up from time to time. You have to compare the performance relative to the single lag error. So the baseline is to use the previous time step to predict the current time step. Ultimately, it's not worthwhile to attempt to predict stock timeseries the SNR is far too low. It's more valuable to attempt to predict a trend, e.g., +1 is there will be upward movement in time window x, -1 if downward, 0 is within some epsilon of the current price. |
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