Research suggests today’s computers can predict asset returns with an unprecedented accuracy.
Has the hunt for investable factors gone too far?
Using a three-pass method to isolate individual risk premia
When TV producers are looking for footage to illustrate financial news, the easiest choice is often the trading floor of an exchange, with traders gesticulating and shouting.
Researchers have devised a method that could help some traders, including those managing large portfolios or those working in statistical arbitrage groups who are seeking to capitalize on pricing inefficiencies between securities.