Mean Absolute Directional Loss as a new loss function for machine learning problems in algorithmic investment strategies.
Jakub MichankówPawel SakowskiRobert SlepaczukPublished in: J. Comput. Sci. (2024)
Keyphrases
- learning problems
- loss function
- investment strategies
- convex loss functions
- binary classification
- learning tasks
- reproducing kernel hilbert space
- machine learning algorithms
- supervised learning
- kernel methods
- pairwise
- support vector
- learning algorithm
- machine learning
- sample complexity
- semi supervised learning
- stock exchange
- stock market
- reinforcement learning
- risk minimization
- data mining
- neural network
- data sets
- stock price
- financial markets
- convex optimization problems