New article where we test various HFT features, resulting in 7x 5s features and 5x 15s features.
This is the first part in a 5-part series on how to go from feature ideas to a final production ready HFT forecast.
Hawk Tuah recently went viral for her rant on the overuse of advanced machine learning models by junior quant researchers.
“Junior researchers prefer non-linear methods and complex black boxes despite the limitations of these models to deal with the high risk of overfitting”
You shouldn't ever try to brute force "read" a textbook. You read sections, do some experimenting, go back. It's reference material. It's not a regular book. Trying to read the whole thing is a waste of time and you'll forget it all.