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Access to modern generative systems is often restricted to querying an API (the ``black-box" setting) and many properties of the system are unknown to the user at inference time. While recent work has shown that low-dimensional…
This paper proposes sparse and easy-to-interpret proximate factors to approximate statistical latent factors. Latent factors in a large-dimensional factor model can be estimated by principal component analysis (PCA), but are usually hard to…
In recent years, state-of-the-art methods for supervised learning have exploited increasingly gradient boosting techniques, with mainstream efficient implementations such as xgboost or lightgbm. One of the key points in generating…
Apriori Algorithm is one of the most important algorithm which is used to extract frequent itemsets from large database and get the association rule for discovering the knowledge. It basically requires two important things: minimum support…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
I consider unsupervised extensions of the fast stepwise linear regression algorithm \cite{efroymson1960multiple}. These extensions allow one to efficiently identify highly-representative feature variable subsets within a given set of…
Factor Analysis (FA) is a technique of fundamental importance that is widely used in classical and modern multivariate statistics, psychometrics and econometrics. In this paper, we revisit the classical rank-constrained FA problem, which…
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research…
How to hedge factor risks without knowing the identities of the factors? We first prove a general theoretical result: even if the exact set of factors cannot be identified, any risky asset can use some portfolio of similar peer assets to…
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the…
It has become routine to collect data that are structured as multiway arrays (tensors). There is an enormous literature on low rank and sparse matrix factorizations, but limited consideration of extensions to the tensor case in statistics.…
The application of machine learning to financial prediction has accelerated dramatically, yet the conditions under which complex models outperform simple alternatives remain poorly understood. This paper investigates whether advanced signal…
While implicit feedback (e.g., clicks, dwell times, etc.) is an abundant and attractive source of data for learning to rank, it can produce unfair ranking policies for both exogenous and endogenous reasons. Exogenous reasons typically…
The increasing occurrence of ordinal data, mainly sociodemographic, led to a renewed research interest in ordinal regression, i.e. the prediction of ordered classes. Besides model accuracy, the interpretation of these models itself is of…
High-dimensional sparse matrix data frequently arise in various applications. A notable example is the weighted word-word co-occurrence count data, which summarizes the weighted frequency of word pairs appearing within the same context…
This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results…
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…
Identifying co-varying causal elements in very high dimensional feature space with internal structures, e.g., a space with as many as millions of linearly ordered features, as one typically encounters in problems such as whole genome…
Sparse portfolio optimization is a fundamental yet challenging problem in quantitative finance, since traditional approaches heavily relying on historical return statistics and static objectives can hardly adapt to dynamic market regimes.…
A prevalent feature of high-dimensional data is the dependence among covariates, and model selection is known to be challenging when covariates are highly correlated. To perform model selection for the high-dimensional Cox proportional…