Factor models and machine learning for portfolio management

Futuris Perpetuum
DataDrivenInvestor
Published in
4 min readMar 9, 2022

--

Photo by Markus Spiske on Unsplash

Persistence in Factor-Based Supervised Learning Models

Guillaume Coqueret, Journal of Finance and Data Science

Abstract
In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We find that predictive algorithms perform…

--

--

PhD in Machine Learning. Portfolio Manager of a L/S Fund. Focused on Technology. Market update, Macro view, Insight | Twitter @futureplaybook