A few observations; You’ve described at a high level what various ML models are but none of the use cases represent an actual hedge, they may help in the decision to take a position but they don’t help manage or mitigate a specific type of risk with a position/exposure you already hold(what a hedge is). Also you noted KNN is non parametric therefore we don’t need make assumptions about the distribution but you suggest volatility/standard deviation, a parameter of the output distribution as a feature?

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Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.

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Mikhail Mew

Mikhail Mew

1K Followers

Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.