ATS '21: Feature Selection is the New Factor Modeling (Ernest Chan)

Thu, Jul 15, 2021 2:00 PM (UTC)

Add to Calendar

Apple  •  Google  •  Office 365  •  Outlook Web  •  Outlook  •  Yahoo

Traditional factor model is based on linear regression, with all its attendant shortcomings. The machine learning technique of feature selection can take into account nonlinearity, collinearity, and interdependence of such factors in returns prediction or attribution.

To access the event, log into:
Thu, Jul 15, 2021 2:00 PM (UTC +00:00)
Thu, Jul 15, 2021 2:40 PM (UTC +00:00)
Powered by