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- W3124379530 abstract "We extend the AROW regression algorithm developed by Vaits and Crammer in [VC11] to handle synchronous mini-batch updates and apply it to stock return prediction. By design, the model should be more robust to noise and adapt better to non-stationarity compared to a simple rolling regression. We empirically show that the new model outperforms more classical approaches by backtesting a strategy on S&P500 stocks." @default.
- W3124379530 created "2021-02-01" @default.
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- W3124379530 date "2020-01-01" @default.
- W3124379530 modified "2023-09-27" @default.
- W3124379530 title "Predicting Stock Returns with Batched AROW" @default.
- W3124379530 hasPublicationYear "2020" @default.
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