Style Investing with Machine Learning

Style Investing

We study asset prices in an economy where some investors categorize risky assets into different styles and move funds among these styles depending on their relative performance. In our economy, assets in the same style comove too much, assets in different styles comove too little, and reclassifying an asset into a new style raises its correlation with that style. We also predict that style retu...

Craftsmanship Alpha: An Application to Style Investing

Coordinated investing with feedback and learning*

This paper introduces assets for which the intrinsic value is endogenous to the amount of funding attracted. A Rational Expectations Equilibrium is developed. Additionally, simulations of the model based on bounded rationality explore the different market behavior under fundamental and momentum based investing strategies. Both strategies produce herding characteristics. The herding under the fu...

Investing in Teacher Learning

A Machine Learning Approach to Musically Meaningful Homogeneous Style Classification

Recent literature has demonstrated the difficulty of classifying between composers who write in extremely similar styles (homogeneous style). Additionally, machine learning studies in this field have been exclusively of technical import with little musicological interpretability or significance. We present a supervised machine learning system which addresses the difficulty of differentiating be...