Hands-On Machine Learning for Algorithmic Trading

Adaptive boosting

Like bagging, boosting is an ensemble learning algorithm that combines base learners (typically decision trees) into an ensemble. Boosting was initially developed for classification problems, but can also be used for regression, and has been called one of the most potent learning ideas introduced in the last 20 years (as described in Elements of Statistical Learning by Trevor Hastie, et al.; see GitHub for links to references). Like bagging, it is a general method or metamethod that can be applied to many statistical learning models.

The motivation for the development of boosting was to find a method to combine the outputs of many weak models (a predictor is called weak when it performs just slightly better than random ...