Uncertainty-Aware Lookahead Factor Models for Quantitative Investing
ICML, pp. 1489-1499, 2020.
On a periodic basis, publicly traded companies report fundamentals, financial data including revenue, earnings, debt, among others. Quantitative finance research has identified several factors, functions of the reported data that historically correlate with stock market performance. In this paper, we first show through simulation that i...More
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