HKML S5E2 - Optiver Realized Volatility Prediction competition by Caleb Yung, Kaggle Expert
Caleb is currently at HSBC as a data scientist focusing on using machine learning to detect financial crime from transactions. In his free time, he enjoys learning AI/ML in competitive environments and is a Kaggle Competition Expert with several competitions ending up in the top 5%.
Presentation Introduction:
Caleb will present his solution to the Optiver Realized Volatility Prediction competition, which asked for a good ML solution to predict the US stocks’ 10-mins window realized volatility using the past 10-mins order book data. The submitted models went through a 3-month live validation and were evaluated by RMSPE (Root Mean Squared Percentage Error). Caleb will walk through his overall modelling pipeline (boosting models, deep learning, and meta models) and some creative time series feature engineering ideas that led to his final top 5% ranking.
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