Addressing Non-Stationarity in FX Trading with Online Model Selection of Offline RL Experts.
Antonio RivaLorenzo BisiPierre LiotetLuca SabbioniEdoardo VittoriMarco PinciroliMichele TraplettiMarcello RestelliPublished in: ICAIF (2022)
Keyphrases
- model selection
- cross validation
- hyperparameters
- bayesian learning
- mixture model
- parameter estimation
- statistical inference
- regression model
- sample size
- reinforcement learning
- statistical learning
- meta learning
- model selection criteria
- machine learning
- generalization error
- error estimation
- selection criterion
- gaussian process
- information criterion
- automatic model selection
- variable selection
- non stationary
- feature selection
- motion segmentation
- marginal likelihood
- bayesian methods
- learning theory
- parameter determination
- learning algorithm