Key feature is that we model the log-correlation matrix, for which block structures are preserved.

This leads to a natural linear factor model for dynamic correlations, where additional information from realized measures are easy to incorporate.

#FactorModels #DimensionalityReduction

🆕 Factor Models vs ML: Alpha with 200 Samples, Not 200K

#QuantFinance #AlgoTrading #factormodels #machinelearning
https://tildalice.io/factor-models-vs-ml-alpha-limited-data/