SSRNEconometrics & Forecasting
Residual Factor Prediction Via Time Series-based Machine Learning
The paper presents a Machine Learning model that uses residual factors from the FamaFrench threefactor model to identify significant alpha factors, providing significant alpha return even when style factors are controlled.
Featured in No. 11 on 9 Aug 2023 · 60 days after release · 0 citations today
- Released
- 10 Jun 2023
- First featured
- No. 11 · 9 Aug 2023
- Citations (Semantic Scholar)
- 0
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- Identifier
- SSRN 4532565
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