This is a summary of links featured on Quantocracy on Friday, 03/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
Activate sigmoid! [OSM]In our last post, we introduced neural networks and formulated some of the questions we want to explore over this series. We explained the underlying architecture, the basics of the algorithm, and showed how a simple neural network could approximate the results and parameters of a linear regression. In this post, well show how a neural network can also approximate a logistic regression and
Z-Score Factor Portfolio Weighting [Philipp Kahler]Factor investing has been around for some years and has shown to be a valid concept for portfolio strategies. Usually the investor selects a few factors and then goes long the 10% of stocks with the highest factors and goes short (if he wants to trade delta neutral) the 10% of stocks with the lowest factors. But I think this approach misses a lot of performance, so I would like to show you a