ML for Alpha Factors
Feature engineering, tree models, GNNs for alpha.
Technical Articles
01
Advanced Feature Engineering for Quantitative Alpha Factors
Mathematical formulation of non-linear alpha factor engineering: cross-sectional Rank Z-Score normalization, robust MAD winsorization, …
02
Tree Ensemble Alpha Models: LightGBM & LambdaRank Cross-Sectional Ranking
Institutional architecture for Gradient Boosted Decision Trees (GBDT) in quantitative finance: why regression loss fails, LambdaRank …
03
Graph Neural Networks for Multi-Asset Cross-Sectional Alpha
Mathematical formulation of relational asset graphs: customer-supplier supply chains, co-coverage analyst adjacency matrices, and Graph …
04
Non-Linear Factor Evaluation: IC, Mutual Information & Deflated Sharpe Ratio
Mathematical formulation of alpha evaluation metrics: Spearman Rank Information Coefficient (IC), Information Ratio t-statistics, …