This is a summary of links featured on Quantocracy on Wednesday, 03/04/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
The Graphical Lasso and its Financial Applications [Robot Wealth]Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published their Graphical Lasso algorithm for estimation of the sparse inverse covariance matrix. Are you suggesting that Friedman and his titans of statistical learning somehow caused the GFC by publishing their Graphical Lasso algorithm? Not at all. Im just setting you up to