This is a summary of links featured on Quantocracy on Saturday, 07/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Machine Learning Model Validation [Only VIX]I just came across an excellent and highly relevant piece of research "A comparison of machine learning model validation schemes for non-stationary time series data" by Matthias Schnaubelt. Features like non-stationarity, concept drift, and structural breaks present serious modelling challenges, and properly validating ML time series models requires knowing proper validation strategies.
Research Review | 17 July 2020 | Smart Beta Revisited [Capital Spectator]The Smart Beta Mirage Shiyang Huang (University of Hong Kong), et al. June 2020 We document sharp performance deterioration of smart beta indexes after the corresponding smart beta ETFs are listed for investments. Adjusted by aggregate market return, the average return of smart beta indexes drops from 2.77% per year on paper before ETF listing to 0.44% per year after ETF listing. This