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Published 20 hours ago • verified publisher icon produvia

Structural Breaks

Open slavakurilyak opened this issue 6 years ago • 0 comments

Goals

As a machine learning developer, I want to use machine learning to determine structural breaks (whenever an observation is drawn from a distribution that happens to be very different from the distributions that have been observed in the past), so that I can better detect change in time-series data.

Inspiration

screen shot 2018-07-08 at 10 26 06 pm

Most quantitative models are "fit to fail". -Marcos Lopez de Prado

Source: (New frontiers: Marcos Lopez de Prado on Machine Learning for finance, 2018)

slavakurilyak avatar Jul 09 '18 05:07 slavakurilyak