Flirting with Models cover image

Formulating the machine learning problem, how research questions should be asked, and the trade-off of complexity versus accuracy (ARCHIVES S1E7)

Flirting with Models

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Machine Learning and Value Investing - What Makes You a Quant Value Investor?

The value effect is embedded in the combination of base economic principles, mean reversion, and human behavioral biases which create the effect. When you train any kind of model with that setup, it will inevitably come up with a model that is characteristically value in nature. And I think that is where machine learning really shows its power and its ability to use non-linearity to discriminate between companies that are true value opportunities and those companies that are just deservedly cheap.

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