mlfactor.github.io

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Regarding the Fama-Macbeth Regression

1

Sir, I used the methodology as shown in the book Tidy Finance with R and obtained the Beta. So now how should i do the second step of Fama-Macbeth ....

mandarpriya

Update broken link (to Python chapter) in index.html

1

First of all, thanks for the great book - a pleasure to read. I discovered that a link to the Python chapter is not working - see below. However, I'm...

mtkerbeR

Features_short

2

Dear Guillaume, In the Chapter 6.4.6 Code and Results, you used **features_short** in your code, but I cannot find the **features_short** defination in your book. Which features do you select...

qucqu

Features in the data

2

In 5.1.3 Illustration, I try to use your code and data to compute Lasso as you did in your book: library(glmnet) y_penalized % as.matrix() fit_lasso % as.matrix(), since there is...

qucqu

neural networks

1

Have you considered adding topics of neural networks to this great online book? R currently has a native API to libtorch. https://cran.r-project.org/web/packages/torch/index.html

waynelapierre

Ensemble models

3

In example 11.1.2, I am not able to understand the calculation of weights on the unconstrained ensemble, if it is based on the training MAEs of the models, then RF...

immortal678

Outliers

4

I ma trying to set up data for analysis using FMP cloud data. I am not sure how to remove outliers from my data. In the book you recommend winsorization:...

MislavSag

Data for ml factor analysis

13

I started to read your book. I have finished chapters 1 and 2. In the book, you use the following data: > This dataset comprises information on 1,207 stocks listed...

MislavSag

Probably typo in Chapter 7 Xgboost

4

Hi, Can you check the formula in the part 7.4.3 Xgboost? I think there may be a typo there.  Then the formula 7.5 has to be adjusted accordingly. Best,...

gelotran