Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics

By Adam Baybutt

Published 2024-05-27

Everscope rating

1450.4

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Double Selection Lasso Factor Model (DSLFM). Problem types: Time Series Forecasting, Regression, Dimensionality Reduction.

arXiv:2405.15721 · Code · Paper rankings

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