Getting started with feature engineering

When it comes to a machine learning algorithm, the first question to ask is usually what features are available or what the predictive variables are.

The driving factors that are used to predict future prices of DJIA, the close prices, include historical and current open prices as well as historical performance (high, low, and volume). Note that current or same-day performance (high, low, and volume) shouldn't be included because we simply can't foresee the highest and lowest prices at which the stock traded or the total number of shares traded before the market is closed on that day.

Predicting the close price with only those preceding four indicators doesn't seem promising and might lead to underfitting. ...

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