
Why long samples are one of the keys to improving predictive algorithms in finance
Published 23 November, 2021
In a study published in the KeAi The Journal of Finance and Data Science, Guillaume Coqueret, a Professor of Finance and Data Science at France’s EMLYON Business School, considered three dimensions of factor models based on ML: the persistence of the dependent variable, the size of the samples, and the holding period (i.e., the rebalancing frequency of the portfolio). His analysis focused on the US stock market.