This is a summary of links featured on Quantocracy on Wednesday, 06/06/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Machine Learning for Financial Market Prediction With Sklearn and Keras [Alpha Architect]Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: Dynamic Return Dependencies Across Industries: A Machine Learning Approach. The paper presents a strategy that forecasts industry returns and shows excellent historical returns. In this piece, we explore the strategy and then try to improve the results with more sophisticated machine