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Article
Machine Learning in Systematic Equity Allocation : A Model Comparison
in Wilmott, 2018 (98)
Recent criticisms suggest that Machine Learning‐based approaches only suite predicting very short‐term price movements. Tony Guida and Guillaume Coqueret apply well‐known ML algorithms to systematic equity investment, presenting a methodology which shows a critical stage of feature and label engineering, a stet that helps uncover hidden structures in the equity market space. Only then, the authors argue, can a modern quantitative approach make accurate long‐term predictions.
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