Generalized Mean Absolute Directional Loss as a Solution to Overfitting and High Transaction Costs in Machine Learning Models Used in High-Frequency Algorithmic Investment Strategies

Fuente: arXiv

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Bibliographic Details
Main Authors:	Michańków, Jakub, Sakowski, Paweł, Ślepaczuk, Robert
Format:	Preprint
Published:	2024
Subjects:	Computational Finance Trading and Market Microstructure
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2412.18405