4 papers
Machine Learning Treasury Yields
Zura Kakushadze, Willie Yu
We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix fact…
Machine Learning Risk Models
Zura Kakushadze, Willie Yu
We give an explicit algorithm and source code for constructing risk models based on machine learning techniques. The resultant covariance matrices are not factor models. Based on e…
Mutation Clusters from Cancer Exome
Zura Kakushadze, Willie Yu
We apply our statistically deterministic machine learning/clustering algorithm *K-means (recently developed in https://ssrn.com/abstract=2908286) to 10,656 published exome samples…
Open Source Fundamental Industry Classification
Zura Kakushadze, Willie Yu
We provide complete source code for building a fundamental industry classification based on publically available and freely downloadable data. We compare various fundamental indust…