In my last post I talked about building powerful feature sets by stepping outside of industry specific data conventions that are often historical artefacts (Stop thinking like a human!). It got me thinking more broadly about the psychology of feature selection. The example I gave was the use of technical indicators in finance but you can … More The Zen of Machine Learning

I’ve been working some cross sectional equity models which are outside my usual domain of macro assets and credit. Rather than build a feature set comprised of standard technical indicators (think TA-Lib) and fundamental data (earnings etc) I decided to build some indicators from first principles, and forget about fundamental data. So what did I … More Stop thinking like a human!