Group Lasso for Factor Selection (Machine Learning)
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- Project Group:
BSc and MSc
- Startdate:
Now
Develop Group LASSO algorithm to evaluate Factor Zoo relative to the chairs option-implied factors. Use data from 2004-2024 on monthly and daily frequency. With Group LASSO the idea is to compare the group of all equity factors to the group of all option-implied factors; later one would incorporate non-linear interactions with further ML techniques.