Transfer learning across markets

You want to transfer a model trained in one equity market to another. What differences must be assessed before pooling data?

Compare trading calendars, currencies, market microstructure, reporting conventions, investability, feature availability, labels and execution costs. Evaluate whether shared patterns persist and whether a market identifier or hierarchical structure is justified. Hold out appropriate markets and future periods to test the intended transfer claim. More pooled rows help only when their information is relevant and their dependence and measurement differences are handled.