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Quantitative Finance · Glossary

What is Deep ensemble?

Definition 7.6 Machine Learning for Markets · Chapter 7 — Neural Networks for Noisy Tabular Data

A deep ensemble averages the predictions of networks of the same architecture trained from different random seeds on the same data (Lakshminarayanan, Pritzel and Blundell, 2017).

Test IC of ten seeds of two architectures on chapter 4’s panel, their means, and the IC of each ten-seed ensemble. Data: ml_nets.seed_study and ml_nets.ensemble.
Figure 7.3. Test IC of ten seeds of two architectures on chapter 4’s panel, their means, and the IC of each ten-seed ensemble. Data: ml_nets.seed_study and ml_nets.ensemble.
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