Top Tweets for #FactorModel
Inspired by Chris, I ran a factor model on my own book.
Interesting takeaways on what’s really driving pnl.
#factormodel #nifty #portfolio
🎥 https://t.co/3YRMNklbKu
#SUERFpolicybrief "What drives inflation? Disentangling demand and supply factors" by Sandra Eickmeier (@bundesbank) and Boris Hofmann (@BIS_org)
#Inflation #AggregateDemandAndSupply #FactorModel #SignRestrictions
#SUERFpolicybrief "Nowcasting World Trade with Machine Learning: a Three-Step Approach" by @menzie_chinn (@UWMadison), Baptiste Meunier (@ecb), and @SStumpner (@banquedefrance)
#Forecasting #BigData #LargeDataset #FactorModel #PreSelection
#FactorFriday continues with Affinity Propagation, a clustering algorithm to cluster firms in similar risk factor groups.
https://t.co/hWpSIFhnB4
Which uses a sparse covariance estimator:
https://t.co/uGlSV4WU1T
#factormodel
Vol 58(2) "Profitability and investment‐based factor pricing models" by Brendan Elliot, Paul Docherty, Stephen Easton, Doowon Lee (@Uni_Newcastle) https://t.co/x9cwiGwKGW #Investment #Profitability #AssetPricing #FactorModel
A kaleidoscopic plethora of geeky read on this lovely Thursday morning, and here is one using Wiki factors and prediction model based on the temporal ranking of stocks
#altdata #factormodel
https://t.co/E3PMOPtb8o
OSAM Sector and Factor Analysis paper are data visualizations are insightful, in particular for those new to the arena.
https://t.co/1K8uPWauLR
https://t.co/LZxVOUf2vK
#dataviz #factormodel #FAMA #factoranalysis
Combining risk and investment factors from top-to-bottom and vice-versa - MSCI Report
#factormodel
https://t.co/Tyzv6rzdWT
#FAKE #Factors
FAMA Originalists vs Factor Creationists
How many of the 300+ so-called linear factors are real after all the necessary adjustments? 3, 5, 13...100?
#factormodel
https://t.co/jIP3d5weLB
Getting comfy with my fave lady lilyhasacamera
.
@chosenmodels #factormodel #factormodel… https://t.co/FYIKvI28hT
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