Feature Engineering Methods on Multivariate Time-Series Data for Financial Data Science Competitions

Thomas Wong and Mauricio Barahona

Papers from arXiv.org

Abstract: This paper is a work in progress. We are looking for collaborators to provide us financial datasets in Equity/Futures market to conduct more bench-marking studies. The authors have papers employing similar methods applied on the Numerai dataset, which is freely available but obfuscated. We apply different feature engineering methods for time-series to US market price data. The predictive power of models are tested against Numerai-Signals targets.

Date: 2023-03, Revised 2023-04
New Economics Papers: this item is included in nep-ets
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