microsoft / qlib

Qlib is an AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms. including supervised learning, market dynamics modeling, and RL.

https://qlib.readthedocs.io/en/latest/

Improve normalization of volume

2young-2simple-sometimes-naive opened this issue 2 years ago · comments

YH Wang commented 2 years ago

❓ Questions and Help

I am using CSZScoreNorm for normalization. I notice that the trade volumes are mostly 0 under this normalization. Is there any way to use different normalization methods on the input dataset? Is there any suggestions for normalizing volume?