Guillaume Coqueret

Hi Michael & thanks for the correction. As a matter of fact, there is one place with all the (old) R code: it's in a zip file at https://github.com/shokru/mlfactor.github.io/tree/master/material But...

Dear Mike, sorry for the inconvenience. The set of features is defined in Chapter 2 as: _features

Hi Wayne, as a matter of fact, we started a bit, in Section 7.6. It's a part of the online version that is under construction... Hopefully I'll have some time...

Hello Mandar, in full disclosure I did not open the file. But if you have well-defined betas after the first step and if you have test asset (stock) returns, then,...

Dear Mislav, sadly good quality data is not free. At the very beginning of Section 5.1, we list a few data providers but their services can be quite expensive. Also,...

The more data, the better obviously - roughly speaking. The minimum is indeed accounting data. It is released at best at quarterly frequencies. But like we say in Chapter 5,...

Hi Mislav, first a bit of history. The original paper of momentum is called "_Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency_" and it has had...

Yes, the formula seems correct, though I guess the overarching brackets are superfluous. For the vol, normally you would take the standard deviation of daily returns during the past year...

Let's say you want to explain future returns with 2 variables: market capitalization and past returns (momentum). Your dataset columns will look like: | date | stock_id | mkt_cap |...

I copy-pasted the weights: ## Pen_reg -0.584393293 ## Tree -0.074509616 ## RF 1.331785969 ## XGB -0.001696782 ## NN 0.328813723 So indeed RF is way above all others. The problem is...