Why ML Models Disagree About Stock Returns
Model disagreement in asset pricing isn’t noise — it’s geometry. A look at what happens when you point different ML architectures at the same return prediction problem.
Model disagreement in asset pricing isn’t noise — it’s geometry. A look at what happens when you point different ML architectures at the same return prediction problem.
Ridge regression doesn’t just shrink coefficients — it encodes a prior about which directions in return space are worth betting on.