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A regression model beats human appraisers on RMSE and y...
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See plansNo. RMSE measured on a static, unfiltered test set describes a completely different situation than a live market where the model’s own output decides which trades actually happen. Once you turn the model into an auto-bidder, you introduce adversarial selection: a prediction that undershoots the true value simply loses the auction, at zero cost. A prediction that overshoots wins it — and you now own an asset you overpaid for. The mechanism selects specifically for the model’s worst overestimation errors and prices them into your inventory, six months at a time, while the underestimation errors never show up anywhere because you never won those deals.
Standard regression losses like MSE and MAE treat both error directions as equally bad. In a market with this kind of adverse selection, they aren’t. Missing a good deal costs you an opportunity; winning a bad one costs you real capital and an asset you have to unwind.
The fix isn’t a smarter confidence threshold on top of the same model — that only filters on variance, not on the asymmetric cost structure. Retrain on an asymmetric, PnL-weighted loss such as quantile loss, with a heavy gradient penalty on overestimation relative to underestimation, so the model is explicitly biased toward missing deals rather than overpaying. Pair that with hard bid caps and staged rollout rather than full autonomy, because no single offline metric can certify that a model is safe to deploy against a market that reacts to its own predictions.