2 papers
q-fin.PM2021
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm
Xin Zhang, Lan Wu, Zhixue Chen
Factor strategies have gained growing popularity in industry with the fast development of machine learning. Usually, multi-factors are fed to an algorithm for some cross-sectional…
stat.AP2019
Centralizing-Unitizing Standardized High-Dimensional Directional Statistics and Its Applications in Finance
Yijian Chuan, Lan Wu
Cross-sectional "Information Coefficient" (IC) is a widely and deeply accepted measure in portfolio management. The paper gives an insight into IC in view of high-dimensional direc…