Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies.
Jakub MichankówPawel SakowskiRobert SlepaczukPublished in: CoRR (2023)
Keyphrases
- learning problems
- loss function
- investment strategies
- convex loss functions
- binary classification
- supervised learning
- pairwise
- learning tasks
- machine learning algorithms
- learning algorithm
- reproducing kernel hilbert space
- support vector
- kernel methods
- semi supervised learning
- machine learning
- stock exchange
- sample complexity
- risk minimization
- reinforcement learning
- stock market
- neural network
- financial markets
- probabilistic model
- similarity measure
- natural language processing
- semi supervised
- stock price
- active learning