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Old 04-11-2013, 07:34 PM
Moobb Moobb is offline
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Join Date: Apr 2013
Posts: 9
Default Re: Lecture 3 Q&A independence of parameter inputs

Elroch, thank you so much for your help. Regarding your point about non stationarity and the difficulty that introduces for financial forecasting, do you see that as necessarily invalidating any attempt towards machine learning forecasting in Finace? Could it be that the time series itself is non stationary, but some specific patterns within it (which people try to capture with technical indicators for example) are stable? Those technical indicators would than be your features and maybe when we conditional on them your time series become more stationary? I think another main use in Finance is in terms of classification, which can then be used for portfolio allocation for example.
Many thanks again!!
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