

Replacing linear factors with a non-linear, characteristic approach in quant equity
Jan 9, 2023
Chapters
Transcript
Episode notes
1 2 3 4 5
Introduction
00:00 • 5min
Is Compressing Your Factors a Good Thing?
04:34 • 4min
The Fama French Three Factor Alpha Matters
08:53 • 4min
How to Predict Cross-Sectional Equity Returns Using Machine Learning
13:08 • 5min
Optimized Walk Forward Models Can't Perform Well on a Market
17:45 • 3min