Uncertainty-Aware Lookahead Factor Models for Quantitative Investing

Lakshay Chauhan, John Alberg, Zachary C. Lipton. Uncertainty-Aware Lookahead Factor Models for Quantitative Investing. In Proceedings of the 37th International Conference on Machine Learning, ICML 2020, 13-18 July 2020, Virtual Event. Volume 119 of Proceedings of Machine Learning Research, pages 1489-1499, PMLR, 2020. [doi]

Authors

Lakshay Chauhan

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John Alberg

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Zachary C. Lipton

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