27.
Forecasting model choice by horizon
The suggested split uses XGBoost for five-minute-and-below forecasts and ridge regression for 15-minute-and-above horizons, with nonparametric feature transforms in between
@quant_arb on Backlist
2 appearances on the backlist front page in the last 30 days.
89.
Forecasting:
Forecasting: 5min and below - XGBoost 15min and above - Ridge You can enhance ridge by fitting non parametric regressions per feature as an in-between. To reduce fitting you can add a hypothesis, and only fit if it validates. This is ty