Cross Validation is often used as a tool for model selection across classifiers. As discussed in detail in the following paper https://ssrn.com/abstract=2967184, Cross Validation is typically performed in the following steps:
However, one question often pops up: how to choose K in K-fold cross validation. The rule-of-thumb choice often suggested by literature based on non-financial market is K=10. The question is: is it true for Financial Market?
In the following paper, in the context of Financial Market, we compare a range of choices for K in K-fold cross validation for the following 8 most popular classifiers:
For those who want to know a bit more, the paper is available: https://ssrn.com/abstract=2967184