Online learning techniques for prediction of temporal tabular datasets with regime changes
This work addresses the challenge of building robust predictive models for temporal tabular datasets, such as financial data, that are prone to regime changes, offering a modular and reproducible solution.
The authors tackled the problem of overfitting in deep learning models applied to non-stationary temporal datasets with regime changes by proposing a modular machine learning pipeline for ranking predictions, which they evaluated on financial stock portfolio data and found that GBDT models with dropout achieved high performance, robustness, and generalizability with reduced complexity and computational cost.
The application of deep learning to non-stationary temporal datasets can lead to overfitted models that underperform under regime changes. In this work, we propose a modular machine learning pipeline for ranking predictions on temporal panel datasets which is robust under regime changes. The modularity of the pipeline allows the use of different models, including Gradient Boosting Decision Trees (GBDTs) and Neural Networks, with and without feature engineering. We evaluate our framework on financial data for stock portfolio prediction, and find that GBDT models with dropout display high performance, robustness and generalisability with reduced complexity and computational cost. We then demonstrate how online learning techniques, which require no retraining of models, can be used post-prediction to enhance the results. First, we show that dynamic feature projection improves robustness by reducing drawdown in regime changes. Second, we demonstrate that dynamical model ensembling based on selection of models with good recent performance leads to improved Sharpe and Calmar ratios of out-of-sample predictions. We also evaluate the robustness of our pipeline across different data splits and random seeds with good reproducibility.