Replacing linear factors with a non-linear, characteristic approach in quant equity
Flirting with Models
How to Predict Cross-Sectional Equity Returns Using Machine Learning
A lot of quants who got their education in the last 15 years, it can be very difficult to sort of mentally unchain themselves from the traditional factor framework. So I'm curious whether you could go into maybe what that non-factor framework does look like in practice versus the more traditional linear models. First, you'd need an expected return model. If you aren't trading in individual stocks, then what you do is dependent on the amount of data that you have. In cross-sectional equities, you generally have a lot so your models can be far more sophisticated.
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