4 papers
Regime-Dependent Predictive Structure Between Equity Factors: Evidence from Granger Causality
Chorok Lee
We document regime-dependent predictive structure between equity factors using 35 years of Fama-French data (1990-2024). We find that Value (HML) Granger-causes Size (SMB) during c…
Conformal Prediction Under Distribution Shift: A COVID-19 Natural Experiment
Chorok Lee
Conformal prediction guarantees degrade under distribution shift. We study this using COVID-19 as a natural experiment across 8 supply chain tasks. Despite identical severe feature…
Decomposing Uncertainty in Probabilistic Knowledge Graph Embeddings: Why Entity Variance Is Not Enough
Chorok Lee
Probabilistic knowledge graph embeddings represent entities as distributions, using learned variances to quantify epistemic uncertainty. We identify a fundamental limitation: these…
Not All Factors Crowd Equally: Modeling, Measuring, and Trading on Alpha Decay
Chorok Lee
We derive a specific functional form for factor alpha decay -- hyperbolic decay alpha(t) = K/(1+lambda*t) -- from a game-theoretic equilibrium model, and test it against linear and…