With a hope no one would consider this impolite and/or harmfull,
let me cite a lovely point of view on the underlying assumption from “Correlation does not imply Causation“: that many contemporary Quantitative Finance modellers neglect or abstract from:
对于任何两个相关事件,A和B,
以下关系是可能的:
A原因B;(直接因果关系)
B原因A;(反向因果关系)
A和B是一个共同原因的结果,但不会相互导致;
A导致B和{}导致A(双向或循环因果关系);
A导致C,其中{}(间接因果关系);
A和B之间没有联系;相关性是coincidence。
因此,仅从^{和B是相关的这一事实,就一个因果关系的存在或方向作出结论。
更新:
毫无疑问,aLinearRegressor()除了一条线之外没有产生其他任何东西,也就是说,它的每一个预测实际上都在模型的正线路上。因此,对于这类预测因子而言,一半的图显然是必须要做的。
Q.E.D.
另一半除了线性模型所采用的过度简化程度之外,没有其他任何东西,尽管存在可观察的现实。在
当然,所经历的实际行为是不是线性的(但不要责怪预测者“无法拟合”,它有责任制定一个MSE最小值驱动的线性模型,它在DataSET的训练部分找不到任何更好的线性拟合,如果它被训练在一个^{合成的^{(,一个人对抛物线形状的先验知识,再次它只会产生一个线性模型,在DataSET和的训练部分分数上有一个最小的MSE我们都非常提前地确信,任何一条线都会因此产生完全有缺陷的预测OoS,但这并不是因为它不能很好地工作,而是由于外部灌输的尝试中的一个主要的无稽之谈在一个(已知的二次)上下文中使用一个线性模型预测器,它不遵循(已知的)现实。在
数据集:
作为一个基本的定量观点,比严格的Kolmogorov-Smirnov检验简单得多,对于未表达的假设,
检查从100个样本中比较浅的( Open[i] - Close[i-1] )[ 75% ]的日内间隙负差的百分比分数
不管怎样,训练少于80天的样本,即使是在更好的工程预测模型上,也很难很好地进行归纳,因此不仅要注重更好的泛化能力,而且要避免季节性偏差等。在To have some idea where the ML goes into this field, my best preforming AI/ML-models have about 0k3 features ( many of 'em highly non-linear synthetic features ) and get intensively trained accross 30k+ DataSETs with carefully carving out their risk to overfitting and searching vast space of the learner-engines' hyperparameter StateSPACE|
|>>> QuantFX.get_LDF_GDF_fromGivenRANGE( [ open_PRICE[i] - close_PRICE[i-1] for i in range( 1, len( close_PRICE ) ) ], nBINs_ = 31, aPrefixTEXT_ = "" )
0: ~ -432.00 LDF = 1 |____ 1.0 % _||____ 1 %
1: ~ -408.10 LDF = 1 |____ 1.0 % _||____ 2 %
2: ~ -384.19 LDF = 1 |____ 1.0 % _||____ 3 %
3: ~ -360.29 LDF = 0 |____ 0.0 % _||____ 3 %
4: ~ -336.39 LDF = 1 |____ 1.0 % _||____ 4 %
5: ~ -312.48 LDF = 1 |____ 1.0 % _||____ 5 %
6: ~ -288.58 LDF = 1 |____ 1.0 % _||____ 6 %
7: ~ -264.68 LDF = 0 |____ 0.0 % _||____ 6 %
8: ~ -240.77 LDF = 1 |____ 1.0 % _||____ 7 %
9: ~ -216.87 LDF = 3 |____ 3.0 % _||___ 10 %
10: ~ -192.97 LDF = 2 |____ 2.0 % _||___ 12 %
11: ~ -169.06 LDF = 1 |____ 1.0 % _||___ 13 %
12: ~ -145.16 LDF = 1 |____ 1.0 % _||___ 14 %
13: ~ -121.26 LDF = 2 |____ 2.0 % _||___ 16 %
14: ~ -97.35 LDF = 5 |____ 5.1 % _||___ 21 %
15: ~ -73.45 LDF = 3 |____ 3.0 % _||___ 24 %
16: ~ -49.55 LDF = 5 |____ 5.1 % _||___ 29 %
17: ~ -25.65 LDF = 18 |___ 18.2 % _||___ 47 %
18: ~ -1.74 LDF = 28 |___ 28.3 % _||___ 75 %
19: ~ 22.16 LDF = 5 |____ 5.1 % _||___ 80 %
20: ~ 46.06 LDF = 5 |____ 5.1 % _||___ 85 %
21: ~ 69.97 LDF = 2 |____ 2.0 % _||___ 87 %
22: ~ 93.87 LDF = 1 |____ 1.0 % _||___ 88 %
23: ~ 117.77 LDF = 4 |____ 4.0 % _||___ 92 %
24: ~ 141.68 LDF = 1 |____ 1.0 % _||___ 93 %
25: ~ 165.58 LDF = 1 |____ 1.0 % _||___ 94 %
26: ~ 189.48 LDF = 1 |____ 1.0 % _||___ 95 %
27: ~ 213.39 LDF = 1 |____ 1.0 % _||___ 96 %
28: ~ 237.29 LDF = 0 |____ 0.0 % _||___ 96 %
29: ~ 261.19 LDF = 1 |____ 1.0 % _||___ 97 %
30: ~ 285.10 LDF = 2 |____ 2.0 % _||__ 100 %
+0:00:06.234000
|
|
|>>> QuantFX.get_LDF_GDF_fromGivenRANGE( [ close_PRICE[i] - open_PRICE[i] for i in range( 1, len( close_PRICE ) ) ], nBINs_ = 31, aPrefixTEXT_ = "" )
0: ~ -523.00 LDF = 2 |____ 2.0 % _||____ 2 %
1: ~ -478.32 LDF = 1 |____ 1.0 % _||____ 3 %
2: ~ -433.65 LDF = 3 |____ 3.0 % _||____ 6 %
3: ~ -388.97 LDF = 1 |____ 1.0 % _||____ 7 %
4: ~ -344.29 LDF = 1 |____ 1.0 % _||____ 8 %
5: ~ -299.61 LDF = 2 |____ 2.0 % _||___ 10 %
6: ~ -254.94 LDF = 7 |____ 7.1 % _||___ 17 %
7: ~ -210.26 LDF = 3 |____ 3.0 % _||___ 20 %
8: ~ -165.58 LDF = 2 |____ 2.0 % _||___ 22 %
9: ~ -120.90 LDF = 5 |____ 5.1 % _||___ 27 %
10: ~ -76.23 LDF = 6 |____ 6.1 % _||___ 33 %
11: ~ -31.55 LDF = 22 |___ 22.2 % _||___ 55 %
12: ~ 13.13 LDF = 7 |____ 7.1 % _||___ 62 %
13: ~ 57.81 LDF = 5 |____ 5.1 % _||___ 67 %
14: ~ 102.48 LDF = 4 |____ 4.0 % _||___ 71 %
15: ~ 147.16 LDF = 8 |____ 8.1 % _||___ 79 %
16: ~ 191.84 LDF = 6 |____ 6.1 % _||___ 85 %
17: ~ 236.52 LDF = 2 |____ 2.0 % _||___ 87 %
18: ~ 281.19 LDF = 3 |____ 3.0 % _||___ 90 %
19: ~ 325.87 LDF = 2 |____ 2.0 % _||___ 92 %
20: ~ 370.55 LDF = 2 |____ 2.0 % _||___ 94 %
21: ~ 415.23 LDF = 3 |____ 3.0 % _||___ 97 %
22: ~ 459.90 LDF = 0 |____ 0.0 % _||___ 97 %
23: ~ 504.58 LDF = 0 |____ 0.0 % _||___ 97 %
24: ~ 549.26 LDF = 0 |____ 0.0 % _||___ 97 %
25: ~ 593.94 LDF = 1 |____ 1.0 % _||___ 98 %
26: ~ 638.61 LDF = 0 |____ 0.0 % _||___ 98 %
27: ~ 683.29 LDF = 0 |____ 0.0 % _||___ 98 %
28: ~ 727.97 LDF = 0 |____ 0.0 % _||___ 98 %
29: ~ 772.65 LDF = 0 |____ 0.0 % _||___ 98 %
30: ~ 817.32 LDF = 1 |____ 1.0 % _||__ 100 %
+0:01:13.172000