Resources

1. The Journal of financial datascience
2. http://www.gcoqueret.com/research.html
3. https://tirthajyoti.github.io/Notebooks/Portfolio_optimization.html
4. http://www.mlfactor.com/

Repos

1. https://github.com/hudson-and-thames/mlfinlab
2. https://github.com/viniesposito/py-mlfactor
3. https://github.com/stefan-jansen/machine-learning-for-trading
4. https://github.com/enexqnt/quantallocation
5. https://github.com/dcajasn/Riskfolio-Lib

General read

1. https://medium.com/@tirthajyoti
2. https://read.deeplearning.ai/the-batch/issue-146/
3. Exploring Machine Learning Advances in Finance

utils

1. https://github.com/fastai/tinypets
2. https://github.com/fastai/fastpages
3. https://feature-engine.readthedocs.io/en/latest/index.html#

Papers:

• Systematic Strategies Across Asset Classes / Risk Factor Approach to Investing and Portfolio Management
  • What is the economic rationale behind each strategy? (ex: why do momentum strategies work?)
  • What is the best expression of each factor (ex: how to define "momentum"?)
  • What is the best way to construct each strategy (ex: how much should allocate to each asset?)
  • What is the best way to risk manage the strategy (ex: should you have position limits? what risks should you monitor?)
  • How to make sure the strategy is robust (ex: how to backtest it? how to stress-test it?)
  • How to assess the performance of each strategy when live (ex: which metrics should I look at?)
  • Why are those strategies particularly attractive in the current environment? (ex: why they could complement a traditional portfolio?)
• Supervised Portfolios - Guillaume Chevalier AXA Investment Managers
• Interpretable Supervised Portfolios - Guillaume Chevalier AXA Investment Managers

CorrectiveAI/Meta Labeling

1. The 7 Reasons Most Machine Learning Funds Fail
2. Tabular Data: Deep Learning is Not All You Need
3. Conditional Parameter Optimization
4. Machine Trading: Deploying Computer Algorithms to Conquer The Markets (Ernest Chan 2017).pdf

Meta-Labeling

• Excellent Video tutorials from mlfinlab
• https://github.com/hudson-and-thames/meta-labeling
• Does-Meta-Labeling-Add-to-Signal-Efficacy

Climate/ESG

1. Perspectives in sustainable equity investing
2. Thus spoke GPT-3: Interviewing a Large-Language Model on Climate Finance
3. CLIMATEBERT: A Pretrained Language Model for Climate-Related Text

Pair Trading

• https://hudsonthames.org/definitive-guide-to-pairs-trading/
• Advanced Pairs Trading Lecture Videos