Machine Learning For Econometricians: The Readme Manual (Portfolio Management Research)
The econometric canon is poorly suited for conducting investment research because of the unstructured nature of…
Quantitative Methods
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When Do Systematic Strategies Decay? (2022)
This paper investigates the determinants of the performance decay of known investment strategies after their…
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How Did Momentum Investing Perform After the Previous Two Valuation Peaks? (Alpha Architect, 2022)
Momentum investing performed well following episodes when value stocks were cheap. Of course, momentum portfolios…
Quantifying the Role of Interest Rates, the Dollar and Covid in Oil Prices (BIS, 2022)
This study analyses oil price movements through the lens of an agnostic random forest model, which is based on 1,…
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