Preprocessing
Methods Evaluated
| Method | Assessment | Reference |
|---|---|---|
| Z-score | Uncertain effectiveness | MDPI Paper ↗ |
| Change Point Detection (PELT) | Too complex | ResearchGate ↗ |
| Winsorization | Needs experiment | Previous DRW experience |
| Denoising Autoencoder | Not implementable | arXiv ↗ |
Result
Selected Iterative Cross-Sectional Standard Scaler to prevent data leak. Winsorization was too cumbersome to implement iteratively.