Cross-Market Alpha: Testing Short-Term Trading Factors in the U.S. Market via Double-Selection LASSO

By Jin Du, Alexander Walter, Maxim Ulrich

Published 2026-05-22

Everscope rating

1902.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Double-Selection LASSO (DS-LASSO). Problem types: Regression, Dimensionality Reduction, Factor Selection, Cross-sectional Return Prediction.

arXiv:2601.06499 · Paper rankings

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