AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
Vivek Viswanathan - Quant Equity in China (S4E10)
Flirting with Models
Why Machine Learning Is a Hot Button Issue for Quants
4min Snip
00:00
Summary
Transcript
Episode notes
The information ratios nearly doubled from the factor approach and the machine learning approach was walk forward out of sample, while the factor approach had unavoidable in sample bis. When you choose the factor approach over the optimized machine learning approach, you're basically giving up high risk, agested returns for ease of explanation - which is sometimes a mutually beneficial trait. Highacter predicts higher stock returns are related to the underlying characteristic, not the auto correlation. It matters that the highest re-weigh has an effect on expected returns. A feature should drive more expected returns if it is dispersed as it is in linearage. And i should say, there is still an advantage to smart bata, which is easy transparency
Get the Snipd
podcast app
Unlock the knowledge in podcasts with the podcast player of the future.
AI-powered
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode
Save any
moment
Hear something you like? Tap your headphones to save it with AI-generated key takeaways
Share
& Export
Send highlights to Twitter, WhatsApp or export them to Notion, Readwise & more
AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode