Deep incremental learning models for financial temporal tabular datasets with distribution shifts

• URL: http://arxiv.org/abs/2303.07925v9
• Date: Mon, 18 Sep 2023 09:30:00 GMT
• Title: Deep incremental learning models for financial temporal tabular datasets with distribution shifts
• Authors: Thomas Wong, Mauricio Barahona
• Abstract summary: The framework uses a simple basic building block (decision trees) to build self-similar models of any required complexity. We demonstrate our scheme using XGBoost models trained on the Numerai dataset and show that a two layer deep ensemble of XGBoost models over different model snapshots delivers high quality predictions.
• Score: 0.9790236766474201
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We present a robust deep incremental learning framework for regression tasks on financial temporal tabular datasets which is built upon the incremental use of commonly available tabular and time series prediction models to adapt to distributional shifts typical of financial datasets. The framework uses a simple basic building block (decision trees) to build self-similar models of any required complexity to deliver robust performance under adverse situations such as regime changes, fat-tailed distributions, and low signal-to-noise ratios. As a detailed study, we demonstrate our scheme using XGBoost models trained on the Numerai dataset and show that a two layer deep ensemble of XGBoost models over different model snapshots delivers high quality predictions under different market regimes. We also show that the performance of XGBoost models with different number of boosting rounds in three scenarios (small, standard and large) is monotonically increasing with respect to model size and converges towards the generalisation upper bound. We also evaluate the robustness of the model under variability of different hyperparameters, such as model complexity and data sampling settings. Our model has low hardware requirements as no specialised neural architectures are used and each base model can be independently trained in parallel.

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