Machine learning for factor investing. (2020)

• Record Type: Book
• Further Information: Note: Guillaume Coqueret, Tony Guida.
• Authors: Coqueret, Guillaume; Guida, Tony, 1979-
• Contents: I Introduction 1. Preface ; What this book is not about The targeted audience How this book is structured Companion website Why R? Coding instructions Acknowledgements Future developments 2. Notations and data; Notations Dataset 3. Introduction; Context Portfolio construction: the workflow Machine Learning is no Magic Wand 4. Factor investing and asset pricing anomalies; Introduction Detecting anomalies Simple portfolio sorts Factors Predictive regressions, sorts, and p-value issues Fama-Macbeth regressions Factor competition Advanced techniques Factors or characteristics? Hot topics: momentum, timing and ESG Factor momentum Factor timing The green factors The link with machine learning A short list of recent references Explicit connections with asset pricing models Coding exercises &
• Edition: R version
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2020
• Extent: 1 online resource
• Subjects: 332.60285631; Investments -- Data processing; Machine learning; R (Computer program language)
• Languages: English
• ISBNs: 9781000176803; 9781000176766; 9781003034858
• Related ISBNs: 9780367473228; 9780367545864
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.