4 papers
Disentangled Feature Importance
Jin-Hong Du, Kathryn Roeder, Larry Wasserman
When predictors are statistically dependent, the appropriate definition of feature importance depends on the operational goal. Conditional-incremental measures are well-suited for…
Cross-Market Alpha: Testing Short-Term Trading Factors in the U.S. Market via Double-Selection LASSO
Jin Du, Alexander Walter, Maxim Ulrich
While traditional equity factor investing relies heavily on slow-moving fundamental accounting metrics, these models frequently suffer from factor crowding and miss real-time, sent…
Assumption-Lean Post-Integrated Inference with Surrogate Control Outcomes
Jin-Hong Du, Kathryn Roeder, Larry Wasserman
Data integration methods aim to extract low-dimensional embeddings from high-dimensional outcomes to remove unwanted variations, such as batch effects and unmeasured covariates, ac…
Effects of Distance Metrics and Scaling on the Perturbation Discrimination Score
Qiyuan Liu, Qirui Zhang, Jinhong Du +2
The Perturbation Discrimination Score (PDS) is increasingly used to evaluate whether predicted perturbation effects remain distinguishable, including in Systema and the Virtual Cel…