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Why are you using only stock returns? Do you Mean you're using portfolios or individual stocks? The latter is a tough sell, and I wouldn't recommend it. Running regressions on portfolios is far more standard. So, now, motivating the models: If you want to take a theoretical stance, recent(ish) work in asset pricing has focused on grounding the Fama-French ...


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Pretty much agree with what everyone is saying above. Just want to add one more comment. The sad truth of not advocating a lot on the usage of ML in Asset Management is the difficulty to marketing it. Most of the pitches on the quant portfolios are trying to make a systematic fundamental (these days called quantamenal) story. ML methods are apparently not ...


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Yes, they can be quantitative in nature. A way to think about this is to set a period of time to analyze the return and then to set it up as a differential equation model and estimate the unknown parameters. If you think the rate of increase in the return is linear, i.e. the momentum is linear then try running a linear regression model and run diagnostics. ...



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