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Why does XGBoost have such a problem in the prediction of stock data? #33

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YANCYLI opened this issue Mar 31, 2020 · 4 comments
Open

Why does XGBoost have such a problem in the prediction of stock data? #33

YANCYLI opened this issue Mar 31, 2020 · 4 comments

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@YANCYLI
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YANCYLI commented Mar 31, 2020 •
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image
the parameters of XGBoost are set to
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I have tried many parameters, but the effect has not changed significantly
@YANCYLI YANCYLI closed this as completed Mar 31, 2020
@YANCYLI YANCYLI reopened this Mar 31, 2020
@jiangzhonglian
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检查一下你的数据和你的模型

@wizardforcel
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wizardforcel commented Mar 31, 2020 •
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股指数据的决定因素在数据之外。如果你只是观察数据，它就是随机游走。

@YANCYLI
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YANCYLI commented Mar 31, 2020

检查一下你的数据和你的模型

用同样的模型预测国内的一些股票，效果都挺好的，所以我在想是不是XGBoost本身存在一些问题

@YANCYLI
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YANCYLI commented Mar 31, 2020

股指数据的决定因素在数据之外。如果你只是观察数据，它就是随机游走。

但是在股票数据中，Adj_close和close这两个数据本身就存在着很强的相关性，理论上模型是能学习到其中的规律，而且预测结果的前一部分拟合得还可以，只是到后面模型突然失效了

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@wizardforcel @jiangzhonglian @YANCYLI