Utilized sentiment-based features to predict cryptocurrency returns, models used: Random Forest Classifier, Random Forest Regressor, and VAR time-series model
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Jan 1, 2021 - Python
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return-prediction
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Cross-sectional Transformer and FFN for stock return prediction and alpha generation. Implements GKX (2020) NN5 replication and MSRR loss (Kelly et al. 2025) for direct portfolio Sharpe optimization. Avg SDF Sharpe 2.05, significant alpha (t=5.34) unexplained by FF5+Momentum.
machine-learning deep-learning neural-network signal-processing pytorch transformer portfolio-optimization quantitative-finance cross-sectional asset-pricing stock-prediction self-attention return-prediction factor-investing empirical-finance quant-research quant-finance alpha-research alpha-generation stochastic-discount-factor
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Apr 13, 2026 - Python
P.A.P.E.R. Platform for Asset-Pricing Experimentation and Research
machine-learning asset-pricing fama-french return-prediction empirical-asset-pricing fama-french-3-factor
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Jun 22, 2025 - Python
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