On CSI 300 index options, gradient boosting ensembles (LGBM, XGBoost, NGBoost) achieve the lowest RMSE in most experiments, but the training set includes data from after the test period, invalidating the temporal realism claim.
Xgboost: A scalable tree boosting system, in: Proceedings of the 22nd acm sigkdd international conference on knowledge discovery and data mining, pp
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
citation-role summary
other 1
citation-polarity summary
fields
cs.LG 1years
2025 1verdicts
REJECT 1roles
other 1polarities
unclear 1representative citing papers
citing papers explorer
-
Option Pricing Using Ensemble Learning
On CSI 300 index options, gradient boosting ensembles (LGBM, XGBoost, NGBoost) achieve the lowest RMSE in most experiments, but the training set includes data from after the test period, invalidating the temporal realism claim.