Persistence in factor-based supervised learning models

This page contains research material on the topic of using long term returns in machine learning models for factor investing.

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Files

All notebooks are available in original .Rmd format upon request.

• The dataset can be found here.
  
• The notebooks for simulations can be found here for the sampling depth analysis and here for the effect of autocorrelation levels.
• The notebook for the baseline results.
• The paper.

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DISCLAIMER: the data and code are meant for research and pedagogical use only.

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