Sökning: "Meta-Labeling"
Hittade 1 uppsats innehållade ordet Meta-Labeling.
1. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy
Kandidat-uppsats, Lunds universitet/Statistiska institutionenSammanfattning : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. LÄS MER
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