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Results for “factors” · papers 1 · wiki 17
Academic Papers · 1arXiv q-fin live 0 · desk corpus 1
arXiv · arXiv · 2026

Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning

This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …

Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst
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Wiki Entities · 17
AI Systems

Vanishing Gradient

Vanishing gradients are when backprop multiplies many |Jacobian| < 1 factors so early layers receive ~0 update — the reason plain deep RNNs and tanh stacks died.

Economics

Dutch Disease

Dutch disease is the squeeze on tradable non-resource sectors when a resource boom or capital inflow appreciates the real exchange rate and pulls factors into the booming sector.

Mathematics

Eigenvalue

An eigenvalue λ of A satisfies A v = λ v. In risk, eigenvalues of the covariance matrix are the variances of the principal components — they tell you how many true factors you have.

Mathematics

Principal Component Analysis

PCA finds orthogonal directions of maximum variance in a covariance (or correlation) matrix — the yield-curve level/slope/butterfly and many equity ‘statistical factors’ are PCA.

Mathematics

Singular Value Decomposition

SVD factors any matrix A = U Σ V' into orthogonal rotations and a diagonal of singular values — the workhorse behind PCA, low-rank approximation, and many recommenders.

Quant

Alpha

Alpha is return not explained by the risk factors you chose — a residual, not a personality.

Quant

Factor Momentum

Factor Momentum — Persistence in relative factor performance exploitable by systematic overlays.

Quant

Fama-French Three-Factor Model

The three-factor model adds size (SMB) and value (HML) to the market — a better cross-section than CAPM, still not the last word.

Quant

Idiosyncratic Risk

Idiosyncratic risk is residual variance after the factors — name-specific noise that diversification is supposed to shrink.

Quant

Low Volatility Anomaly

Low Volatility Anomaly — Empirical outperformance of low-beta stocks, crowded in risk-off regimes.

Quant

Quality Factor

Quality Factor — Exposure to profitable, stable balance-sheet companies versus junk quality.

Quant

Size Premium

Size Premium — Historical return premium for smaller capitalisation stocks with liquidity caveats.

Quant

Smart Beta Strategies

Smart Beta Strategies — Rules-based factor tilts packaged for institutional asset allocation.

Quant

Systematic Risk

Systematic risk is the part of return that moves with common factors — you get paid for it, and you cannot dilute it by adding names in the same factor.

Quant

Value Factor

Value Factor — Cheap versus expensive stocks — cyclical performance tied to rates and inflation.

Strategies

Smart Factors Momentum plus Market Portfolio

Rotate smart-beta factors on their own momentum and blend the result with the market — a core-satellite factor timer.

Strategies

Value and Momentum Factors across Asset Classes

Run value and momentum on the same multi-asset universe and combine them — Asness–Moskowitz–Pedersen ‘everywhere’ as a book.

Option Blackboard · 0
No Option Blackboard entries matched.
Encyclopedia · 10
Quant · Foundations

Alpha

Alpha is return not explained by the risk factors you chose — a residual, not a personality.

Economics · Foundations

Dutch Disease

Dutch disease is the squeeze on tradable non-resource sectors when a resource boom or capital inflow appreciates the real exchange rate and pulls factors into the booming sector.

Mathematics · Foundations

Eigenvalue

An eigenvalue λ of A satisfies A v = λ v. In risk, eigenvalues of the covariance matrix are the variances of the principal components — they tell you how many true factors you have.

Quant · Foundations

Idiosyncratic Risk

Idiosyncratic risk is residual variance after the factors — name-specific noise that diversification is supposed to shrink.

Mathematics · Foundations

Principal Component Analysis

PCA finds orthogonal directions of maximum variance in a covariance (or correlation) matrix — the yield-curve level/slope/butterfly and many equity ‘statistical factors’ are PCA.

Mathematics · Foundations

Singular Value Decomposition

SVD factors any matrix A = U Σ V' into orthogonal rotations and a diagonal of singular values — the workhorse behind PCA, low-rank approximation, and many recommenders.

Strategies · Foundations

Smart Factors Momentum plus Market Portfolio

Rotate smart-beta factors on their own momentum and blend the result with the market — a core-satellite factor timer.

Quant · Foundations

Systematic Risk

Systematic risk is the part of return that moves with common factors — you get paid for it, and you cannot dilute it by adding names in the same factor.

Strategies · Foundations

Value and Momentum Factors across Asset Classes

Run value and momentum on the same multi-asset universe and combine them — Asness–Moskowitz–Pedersen ‘everywhere’ as a book.

AI Systems · Foundations

Vanishing Gradient

Vanishing gradients are when backprop multiplies many |Jacobian| < 1 factors so early layers receive ~0 update — the reason plain deep RNNs and tanh stacks died.

Cards · 0
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