Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests

Abstract Conventionally, random forests are built from “greedy” decision trees which each consider only one split at a time during their construction. The sub-optimality of greedy implementation has been well-known, yet mainstream adoption of more sophisticated tree building algorithms has been lack...

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Autores principales:	Delilah Donick, Sandro Claudio Lera
Formato:	article
Lenguaje:	EN
Publicado:	Nature Portfolio 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/0461c7c50c5d487c8476814404983280
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id	oai:doaj.org-article:0461c7c50c5d487c8476814404983280
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spelling	oai:doaj.org-article:0461c7c50c5d487c84768144049832802021-12-02T17:20:11ZUncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests10.1038/s41598-021-88571-32045-2322https://doaj.org/article/0461c7c50c5d487c84768144049832802021-04-01T00:00:00Zhttps://doi.org/10.1038/s41598-021-88571-3https://doaj.org/toc/2045-2322Abstract Conventionally, random forests are built from “greedy” decision trees which each consider only one split at a time during their construction. The sub-optimality of greedy implementation has been well-known, yet mainstream adoption of more sophisticated tree building algorithms has been lacking. We examine under what circumstances an implementation of less greedy decision trees actually yields outperformance. To this end, a “stepwise lookahead” variation of the random forest algorithm is presented for its ability to better uncover binary feature interdependencies. In contrast to the greedy approach, the decision trees included in this random forest algorithm, each simultaneously consider three split nodes in tiers of depth two. It is demonstrated on synthetic data and financial price time series that the lookahead version significantly outperforms the greedy one when (a) certain non-linear relationships between feature-pairs are present and (b) if the signal-to-noise ratio is particularly low. A long-short trading strategy for copper futures is then backtested by training both greedy and stepwise lookahead random forests to predict the signs of daily price returns. The resulting superior performance of the lookahead algorithm is at least partially explained by the presence of “XOR-like” relationships between long-term and short-term technical indicators. More generally, across all examined datasets, when no such relationships between features are present, performance across random forests is similar. Given its enhanced ability to understand the feature-interdependencies present in complex systems, this lookahead variation is a useful extension to the toolkit of data scientists, in particular for financial machine learning, where conditions (a) and (b) are typically met.Delilah DonickSandro Claudio LeraNature PortfolioarticleMedicineRScienceQENScientific Reports, Vol 11, Iss 1, Pp 1-12 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Delilah Donick Sandro Claudio Lera Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests
description	Abstract Conventionally, random forests are built from “greedy” decision trees which each consider only one split at a time during their construction. The sub-optimality of greedy implementation has been well-known, yet mainstream adoption of more sophisticated tree building algorithms has been lacking. We examine under what circumstances an implementation of less greedy decision trees actually yields outperformance. To this end, a “stepwise lookahead” variation of the random forest algorithm is presented for its ability to better uncover binary feature interdependencies. In contrast to the greedy approach, the decision trees included in this random forest algorithm, each simultaneously consider three split nodes in tiers of depth two. It is demonstrated on synthetic data and financial price time series that the lookahead version significantly outperforms the greedy one when (a) certain non-linear relationships between feature-pairs are present and (b) if the signal-to-noise ratio is particularly low. A long-short trading strategy for copper futures is then backtested by training both greedy and stepwise lookahead random forests to predict the signs of daily price returns. The resulting superior performance of the lookahead algorithm is at least partially explained by the presence of “XOR-like” relationships between long-term and short-term technical indicators. More generally, across all examined datasets, when no such relationships between features are present, performance across random forests is similar. Given its enhanced ability to understand the feature-interdependencies present in complex systems, this lookahead variation is a useful extension to the toolkit of data scientists, in particular for financial machine learning, where conditions (a) and (b) are typically met.
format	article
author	Delilah Donick Sandro Claudio Lera
author_facet	Delilah Donick Sandro Claudio Lera
author_sort	Delilah Donick
title	Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests
title_short	Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests
title_full	Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests
title_fullStr	Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests
title_full_unstemmed	Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests
title_sort	uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests
publisher	Nature Portfolio
publishDate	2021
url	https://doaj.org/article/0461c7c50c5d487c8476814404983280
work_keys_str_mv	AT delilahdonick uncoveringfeatureinterdependenciesinhighnoiseenvironmentswithstepwiselookaheaddecisionforests AT sandroclaudiolera uncoveringfeatureinterdependenciesinhighnoiseenvironmentswithstepwiselookaheaddecisionforests
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Uncovering feature interdependencies in high-noise environments with stepwise lookahead decision forests

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