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

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

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Description
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.

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Location
https://algotradingsummit.com/live
Start
Thu, Jul 15, 2021 2:00 PM (UTC +00:00)
End
Thu, Jul 15, 2021 2:40 PM (UTC +00:00)
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