2 papers
q-fin.ST2024
PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning
Siqiao Zhao, Dan Wang, Raphael Douady
The domain of hedge fund investments is undergoing significant transformation, influenced by the rapid expansion of data availability and the advancement of analytical technologies…
q-fin.PM2024
Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer
Siqiao Zhao, Zhikang Dong, Zeyu Cao +1
When constructing portfolios, a key problem is that a lot of financial time series data are sparse, making it challenging to apply machine learning methods. Polymodel theory can so…