How would you model stock price prediction?

Q: How would you model stock price prediction?

This question evaluates competency in applying machine learning to financial time-series, covering target definition, data selection, feature engineering, model choice, validation, evaluation metrics, and production considerations.

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Question

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Scenario

You are asked to use machine learning to predict stock prices (or more realistically, predict future returns / price direction) for a trading use case.

Questions

Target definition: What exactly would you predict (e.g., next-day close, next-hour return, direction, volatility)? Why?
Data: What data sources would you use (market data, fundamentals, news, alternative data)? What is the minimum viable dataset?
Features: What features would you engineer from the data?
Modeling: What model families would you consider and why (linear models, tree-based, deep learning, time-series models)?
Training & validation: How would you split data over time to avoid leakage? How would you tune hyperparameters?
Evaluation: What metrics would you use (ML metrics and trading metrics)?
Pitfalls: How would you address non-stationarity, regime changes, data snooping, survivorship bias, and transaction costs?
Production considerations: How would you deploy, monitor, and retrain the model?

How would you model stock price prediction?

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Scenario

Questions

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