John Alberg - The Man in the Machine (Learning) (S1E7)
Flirting with Models
Machine Learning Can Be More Robust Than Traditional Factor Research
i was hoping you could expand on that for me a little bit in he and maybe some of the lessons that machine learning can offer to traditional factor research. So we've discussed this fact that deepneral net works, by definition, we don't have to pre engineer the factors,. We can just sort of allow the machine to programmatically search for methods of selection, wait the importance transform the data. But when done correctly, many of the techniques of machine learning can be more robust to the problems found in traditional factorResearch. This ties into a topic most researchers and practitioners would agree that we probably have a pea hacking problem in the industry.
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