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varukimm t1_j3cxdrz wrote

You refere to regressions?

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brucebay t1_j3d4nzz wrote

Most commonly used (and successful models) in financial world are typically variations of regression and decision trees (xgboost is being the leader). If you try to do anything else, the powers in place will hang you, cut your head, and urinate in your grave, not necessarily in that order.

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CactusOnFire t1_j3dhxfk wrote

I work in the financial world- and to elaborate on your comment:

Speaking strictly for myself, there are a few reasons I rarely use neural networks at my day job:

-Model explainability: Often stakeholders care about being able to explicitly label the "rules" which lead to a specific outcome. Neural Networks can perform well, but it is harder to communicate why the results happened than with simpler models.

-Negligible performance gains: While I am working on multi-million row datasets, the number of features I am working with are often small. The performance improvements I get for running a tensorflow/pytorch model are nearly on par with running an sklearn model. As a result, deep learning is overkill for most of my tasks.

-Developer Time & Speed: It is much quicker and easier to make an effective model in sklearn than it is in tensorflow/pytorch. This is another reason Neural Networks are not my default solution.

There are some out-of-the-box solutions available in tools like Sagemaker or Transformers. But even still, finding and implementing one of these is still just going to take slightly longer than whipping up a random forest.

-Legacy processes: There's a mentality of "if it ain't broke, don't fix it". Even though I am considered a subject matter expert in data science, the finance people don't like me tweaking the way things work without lengthy consultations.

As a result, I am often asked to 'recreate' instead of 'innovate'. That means replacing a linear regression with another linear regression that uses slightly different hyperparameters.

-Maintainability: There are significantly more vanilla software engineers than data scientists/ML Engineers at my company. In the event I bugger off, it's going to be easier for the next person to maintain my code if the models are simple/not Neural Networks.

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brucebay t1_j3djt1n wrote

Yeah. This is a very nice summary of it.

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