This is a summary of links featured on Quantocracy on Wednesday, 12/09/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Evolving Thoughts on Data Mining [Robot Wealth]Several years ago, I wrote about some experimentation Id done with data mining for predictive features from financial data. The article has had several tens of thousands of views and nearly 100 comments. I think the popularity of the article lay in its demonstration of various tools and modeling frameworks for doing data mining in R (it didnt generate any alpha, so it cant have been
Real-time growth estimation with reinforcement learning [SR SV]Survey data and asset prices can be combined to estimate high-frequency growth expectations. This is a specific form of nowcasting that implicitly captures all types of news on the economy, not just official data releases. Methods for estimation include the Kalman filter, MIDAS regression, and reinforcement learning. Since reinforcement learning is model-free it can estimate more efficiently. And