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I wrote a masters thesis related to machine learning in finance, and during this process I surveyed about 200 of the research papers that were written about the topic since 2018. This is the distribution of the algorithms used in the research papers: LSTM is by far the most used machine learning algorithm used to predict financial time series and used in ...


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Yes. It comes from a core theorem of statics, Stein's Lemma. It shook the foundations of the field of statistics when it came out. It blew up an entire way of viewing mathematical statistics. Although it followed from critical work by Robbins in Bayesian estimation, Stein's work is really what is now remembered. There are three primary schools of ...


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The Carhart 1997 paper, "On Persistence in Mutual Fund Performance", is probably a good reference for doing exactly what you're looking to do. I think you would want to do a multivariate regression of your returns against the market's factor returns. Then the regression will give you both an intercept and the loadings (betas) to each risk factor. ...


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