Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.
The Journal of Finance 48, 65–91
6 Pith papers cite this work. Polarity classification is still indexing.
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UNVERDICTED 6representative citing papers
Decomposing the market into body and tail reveals q5 produces systematic offsetting leg alphas at daily frequency despite strongest spanning, a pattern removed by random splits and attenuated monthly.
PTMC is a proposed Monte Carlo estimator that generates market-outcome distributions by simulating continuous double-auction interactions among persona-conditioned neural-policy bots whose heterogeneity is drawn from a learned distribution.
Factor model performance rankings and pricing errors vary materially with test portfolio construction methods, making construction a key design choice in model evaluation.
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.
Cost-aware execution filters enable selected machine learning strategies, particularly long-only XGBoost, to achieve over 65% annualized returns and Sharpe ratios above 1 in hourly BTC trading despite 10bp costs.
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RankGLU: Residual Gated Score Formation for Cross-Sectional Stock Prediction
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.