Questions tagged [classifier]

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Should we split data into several periods before calculating class weight? (Advances in Financial Machine Learning)

In the book, section 4.8 class weights, Marcos suggests applying class weight, which I agree because sometimes you have more bullish price action than bearish price action e.g. 52% of the time is ...
offchan's user avatar
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Optimal predictors for 1-month returns

I am implementing a Random Forest classifier algorithm on Python for predicting future stock returns (one month). My goal is to foresee whether the cumulative returns in a month will be negative or ...
Matteo's user avatar
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1 answer
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Accurate model but execution in backtesting is losing money

I have a binary classification model that predicts BUY (1) and SELL (-1) with an out of sample F1 score of 71% (precision is 65% and recall is 80%). The model's output is a probability of a BUY label ...
PyRsquared's user avatar
3 votes
0 answers
797 views

Meta Labeling for trading opportunities

In Advances in Financial Machine Learning, Lopez explains how we should build a primary exogenous model (binary classifier) to identify trading opportunities and a secondary meta model to filter out ...
PyRsquared's user avatar
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3 answers
2k views

How to get know when CUSIP is changed

CUSIP code is not a constant, it could be changed. Does anybody know how to detect a CUSIP change? Is there any report with this info? Where can i find it? Thank you.
kban's user avatar
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How to check if the people segmentation based on prime and sub prime loans is accurate?

Using Lending Club dataset I have a dataframe with characteristics of loans of some borrowers. Here is their distribution of the sub-grades: ...
Revolucion for Monica's user avatar
3 votes
1 answer
165 views

Rare Events in Normal Multivariate distributions

I don't work in finance, but I've stumbled upon a problem that you guys may have to deal with in your jobs. My problem is a random walk in high dim spaces ( > 100), in which I'm looking for vectors ...
Alex's user avatar
  • 131
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2 answers
178 views

Fortune 1000 companies: which are public utilities?

I am reviewing the Fortune 1000 list of companies. Is there a reliable way using information from EDGAR filings to determine which of these companies are primarily acting as regulated public utilities?...
William Entriken's user avatar
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1 answer
367 views

Choosing a weak learner

I want to compare different error rates of different classifiers with the error rate from a weak learner (better than random guessing). So, my question is, what are a few choices for a simple, easy to ...
Stu's user avatar
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20 votes
10 answers
12k views

Usage of Random forests in Quantitative analysis of stocks

I have a question about Random forests and how they could be utilized in trading? I heard Random forests are used for classification, is that accurate? If so, could someone give an example of what ...
user793468's user avatar
4 votes
1 answer
218 views

How to properly cross-validate when optimizing SVM classification?

I'm using SVM binary classification to predict movement of NASDAQ stock prices. My question is regarding cross-validation. I will divide the training data into V subsets. Training will be performed on ...
Lee Schmidt's user avatar