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Machine Learning - The Best Lessons Learned
Both of you have now at least a decade of experience in machine learning different aspects, both outside of financial markets and within finfinancial markets. I was wondering whether you could share any of the hard lessons that you've learned about applying in learning. The biggest challenge is that overfittingis is lurking behind every corner, especially in finance. Even just being aware of how a market has behaved, then you may imbue the model with your kind of experience which will contaminate the research process.