Choice of K in K-fold Cross Validation for Classification in Financial Market

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 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?