What Is an Ensemble? Let’s talk about it. (w/case study)

From fragile signals to resilient systems built on diversified edge

--

Press enter or click to view image in full size

In Advances in Financial Machine Learning by Marcos López de Prado, de Prado describes ensembles as a combination of multiple models or classifiers whose outputs are aggregated to produce a single prediction, with the goal of improving robustness, reducing overfitting, and enhancing generalization.

In the book, ensembles are tightly tied to three core ideas:

1. Variance Reduction
Individual models are noisy and unstable. By combining many models, you reduce variance and smooth the output.

2. Generalization
A single model can overfit easily. Ensembles are designed to perform better out of sample by not relying on one specific fit.

Here is the link to the full article on Substack. I hope you enjoy!

• Josh