Core Earnings: New Data and Evidence
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 [...]
Alpha Architect Weekly Recap: Editorials on Machine Learning
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 [...]
Machine Learning Classification Methods and Factor Investing
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 Protocol to Prevent “Quants Gone Wild”
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 [...]
Machine Learning for Financial Market Prediction — Time Series Prediction With Sklearn and Keras
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 [...]
Machine Learning for Investors: A Primer
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 [...]