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The Journal of Financial Data Science

The Journal of Financial Data Science

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Meta-Labeling Architecture

Michael Meyer, Jacques Francois Joubert and Mesias Alfeus
The Journal of Financial Data Science Fall 2022, 4 (4) 10-24; DOI: https://doi.org/10.3905/jfds.2022.1.108
Michael Meyer
is a quantitative researcher at Hudson and Thames Quantitative Research in London, UK
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Jacques Francois Joubert
is the chief executive officer of Hudson and Thames Quantitative Research in London, UK
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Mesias Alfeus
is a senior lecturer in the Department of Statistics and Actuarial Science at Stellenbosch University in Stellenbosch, South Africa
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Abstract

Separating the side and size of a position allows for sophisticated strategy structures to be developed. Modeling the size component can be done through a meta-labeling approach. This article establishes several heterogeneous architectures to account for key aspects of meta-labeling. They serve as a guide for practitioners in the model development process, as well as for researchers to further build on these ideas. An architecture can be developed through the lens of feature- and/or strategy-driven approaches. The feature-driven approach exploits the way the information in the data is structured and how the selected models use that information, whereas a strategy-driven approach specifically aims to incorporate unique characteristics of the underlying trading strategy. Furthermore, the concept of inverse meta-labeling is introduced as a technique to improve the quantity and quality of the side forecasts.

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The Journal of Financial Data Science: 4 (4)
The Journal of Financial Data Science
Vol. 4, Issue 4
Fall 2022
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Meta-Labeling Architecture
Michael Meyer, Jacques Francois Joubert, Mesias Alfeus
The Journal of Financial Data Science Oct 2022, 4 (4) 10-24; DOI: 10.3905/jfds.2022.1.108

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Meta-Labeling Architecture
Michael Meyer, Jacques Francois Joubert, Mesias Alfeus
The Journal of Financial Data Science Oct 2022, 4 (4) 10-24; DOI: 10.3905/jfds.2022.1.108
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  • Article
    • Abstract
    • THEORETICAL FRAMEWORK
    • META-LABELING ARCHITECTURES
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