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Quantitative Finance · Begrippenlijst

Wat is Fixed-horizon label?

Definition 2.1 Machine Learning for Markets · Hoofdstuk 2 — Targets, Labels and Sample Weights

Given an event at bar t0t_0 and a horizon hh, the fixed-horizon label is sign⁡(∑s=t0+1t0+hRs)\sign(\sum_{s=t_0+1}^{t_0+h}R_s), or the return itself for regression, settled at t1=t0+ht_1 = t_0 + h.

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