This is a summary of links featured on Quantocracy on Friday, 08/14/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Feature Selection (2 / 3) [Tr8dr]As mentioned in the prior discussion feature selection (1/3), of primary interest is understanding the contribution of each feature in x to the outcome or class labeling function f(x ) . One way to examine this is to understand how the distributions: p(xf) , the probability distribution of feature f (without regard to label) p(xf|f(x)=y) , the feature distribution conditional on class label
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Rebalance Timing Luck: The (Dumb) Luck of Smart Beta [Flirting with Models]We are proud to announce the release of our newest paper, Rebalance Timing Luck: The (Dumb) Luck of Smart Beta. Abstract Prior research and empirical investment results have shown that portfolio construction choices related to rebalance schedules may have non-trivial impacts on realized performance. We construct long-only indices that provide exposures to popular U.S. equity factors (value, size,