ALPE, an online reinforcement-learning regressor, is reported to beat batch ML models for mid-price forecasting, but the evaluation likely leaks the target into the inputs.
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Minimal Batch Adaptive Learning Policy Engine for Real-Time Mid-Price Forecasting in High-Frequency Trading
ALPE, an online reinforcement-learning regressor, is reported to beat batch ML models for mid-price forecasting, but the evaluation likely leaks the target into the inputs.