This is a summary of links featured on Quantocracy on Friday, 01/22/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
The Amazing Efficacy of Cluster-based Feature Selection [EP Chan]One major impediment to widespread adoption of machine learning (ML) in investment management is their black-box nature: how would you explain to an investor why the machine makes a certain prediction? What's the intuition behind a certain ML trading strategy? How would you explain a major drawdown? This lack of "interpretability" is not just a problem for financial ML, it is a
-
Is the Market Getting more Efficient? [Alpha Architect]In 1998, Charles Ellis wrote Winning the Losers Game, in which he presented evidence that while it is possible to generate alpha and win the game of active management, the odds of doing so were so poor that its not prudent for investors to try. At the time, roughly 20 percent of actively managed mutual funds were generating statistically significant alphas (they were able to outperform