Good article, re-iterating one readers other observation, “simple last value out performs more sophisticated methods” isn’t this because prices are serially correlated? The open price is anchored to the previous close price. perhaps using price return or another method of making the data stationary might yield better results?
Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.
Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.
