Re:Fitting to Noise or Nothing at All: Machine Learning in M...
by ithkuil on Tuesday August 08, 2017 @08:25PM
(#14964382)
Thanks, it makes sense.
The article cited in the OP says:
"""
Our historical dataset contains 5 minute mid-prices for 43 CME listed commodity
and FX futures from March 31st 1991 to September 30th, 2014. We use the
most recent fifteen years of data because the previous period is less liquid for
some of the symbols, resulting in long sections of 5 minute candles with no price
movement. Each feature is normalized by subtracting the mean and dividing by
the standard deviation. The training set consists of 25,000 consecutive observations
and the test set consists of the next 12,500 observations.
"""
The article cited in the OP says:
""" Our historical dataset contains 5 minute mid-prices for 43 CME listed commodity and FX futures from March 31st 1991 to September 30th, 2014. We use the most recent fifteen years of data because the previous period is less liquid for some of the symbols, resulting in long sections of 5 minute candles with no price movement. Each feature is normalized by subtracting the mean and dividing by the standard deviation. The training set consists of 25,000 consecutive observations and the test set consists of the next 12,500 observations. """
(excerpt from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2756331)
That sounds to me as if the only data they trained the model are a bunch of prices.
I'm I reading it correctly?