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Introducing the CZAR Loss: A Tailored Objective Function for Financial Log-Return Predictions
and-sciencecomputational-engineeringcomputational-financefinancemachine-learningmathematical-finance
In quantitative finance, standard regression losses are misaligned with the economics of return prediction. As the conditional mean of financial log-returns is close to zero, symmetric losses such as the mean squared and mean absolute errors make the constant zero forecast a near-optimal solution, p
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