Hands-On Machine Learning for Algorithmic Trading

How to formulate the model

The multiple regression model defines a linear functional relationship between one continuous outcome variable and p input variables that can be of any type but may require preprocessing. Multivariate regression, in contrast, refers to the regression of multiple outputs on multiple input variables.

In the population, the linear regression model has the following form for a single instance of the output y, an input vector , and the error ε:

The interpretation of the coefficients is straightforward: the value of a