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This paper presents an augmented deep factor model that generates latent factors for cross-sectional asset pricing. The conventional security sorting on firm characteristics for constructing long-short factor portfolio weights is nonlinear…
Fantasy sports allow fans to manage a team of their favorite athletes and compete with friends. The fantasy platform aligns the real-world statistical performance of athletes to fantasy scoring and has steadily risen in popularity to an…
Machine learning models usually assume that a set of feature values used to obtain an output is fixed in advance. However, in many real-world problems, a cost is associated with measuring these features. To address the issue of reducing…
Inferring parameters of macro-kinetic growth models, typically represented by Ordinary Differential Equations (ODE), from the experimental data is a crucial step in bioprocess engineering. Conventionally, estimates of the parameters are…
Most accurate predictions are typically obtained by learning machines with complex feature spaces (as e.g. induced by kernels). Unfortunately, such decision rules are hardly accessible to humans and cannot easily be used to gain insights…
Decision-focused learning (DFL) is an increasingly popular paradigm for training predictive models whose outputs are used in decision-making tasks. Instead of merely optimizing for predictive accuracy, DFL trains models to directly minimize…
Statistical applications in sports have long centered on how to best separate signal (e.g. team talent) from random noise. However, most of this work has concentrated on a single sport, and the development of meaningful cross-sport…
Machine learning models have become increasingly popular for predicting the results of soccer matches, however, the lack of publicly-available benchmark datasets has made model evaluation challenging. The 2023 Soccer Prediction Challenge…
Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted features (factors) inspired by technical and quantitative…
Previous work on fantasy basketball quantifies player value for category leagues without taking draft circumstances into account. Quantifying value in this way is convenient, but inherently limited as a strategy, because it precludes the…
Performance optimization of deep learning models is conducted either manually or through automatic architecture search, or a combination of both. On the other hand, their performance strongly depends on the target hardware and how…
Deep Reinforcement learning is a branch of unsupervised learning in which an agent learns to act based on environment state in order to maximize its total reward. Deep reinforcement learning provides good opportunity to model the complexity…
Crafting effective features is a crucial yet labor-intensive and domain-specific task within machine learning pipelines. Fortunately, recent advancements in Large Language Models (LLMs) have shown promise in automating various data science…
Understanding how changes in explanatory features affect the unconditional distribution of the outcome is important in many applications. However, existing black-box predictive models are not readily suited for analyzing such questions. In…
Existing work on understanding deep learning often employs measures that compress all data-dependent information into a few numbers. In this work, we adopt a perspective based on the role of individual examples. We introduce a measure of…
Existing approaches for estimating home-field advantage (HFA) include modeling the difference between home and away scores as a function of the difference between home and away team ratings that are treated either as fixed or random…
One of the major advantages in using Deep Learning for Finance is to embed a large collection of information into investment decisions. A way to do that is by means of compression, that lead us to consider a smaller feature space. Several…
Data analytics in sports is crucial to evaluate the performance of single players and the whole team. The literature proposes a number of tools for both offence and defence scenarios. Data coming from tracking location of players, in this…
We model the photo cropping problem as a cascade of attention box regression and aesthetic quality classification, based on deep learning. A neural network is designed that has two branches for predicting attention bounding box and…
The amount of information in the form of features and variables avail- able to machine learning algorithms is ever increasing. This can lead to classifiers that are prone to overfitting in high dimensions, high di- mensional models do not…