Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements [...]
This blog talks about reinforcement learning for trading applications. Once one of my pups found half a roast chicken in the corner of a parking [...]
Shiller's CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng [...]
Researchers love novel datasets--it gives them a new set of information to conduct studies and test theories. That brings us to this paper, titled "Core [...]
You can watch the video via this link: https://www.youtube.com/embed/tVwwZ1-bThI This week Ryan and I discuss two editorials on machine learning and its impact and [...]
In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., [...]
A Backtesting Protocol in the Era of Machine Learning Rob Arnott, Campbell Harvey, and Harry MarkowitzWorking paperA version of this paper can be found hereWant to [...]
Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: "Dynamic Return Dependencies Across Industries: A Machine [...]
If you are out to describe the truth, leave elegance to the tailor. — Albert Einstein Machine learning is everywhere now, from self-driving cars to [...]
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