Chapter 3 Introduction Machine Learning for Factor…

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Chapter 3 Introduction
Conclusions often echo introductions. This chapter
was completed at the very end of the writing of the
book. Its outlines principles and ideas that are
probably more relevant than the sum of technical
details covered subsequently. When stuck with
disappointing results, we advise the reader to take
a step away from the algorithm and come back to
this section to get a broader perspective of some
of the issues in predictive modelling.

3.1 Context
The blossoming of machine learning in factor
investing has it source at the confluence of three
favorable developments: data availability,
computational capacity, and economic groundings.

First, the data. Nowadays, classical providers,