Reviewing Michael Oliver's Feature Exposure clipping tool, which was rewritten by JRB to reduce runtime. We walk through the notebook and describe the unique components that differentiate Feature Clipping from other methods of Feature Neutralization.
This video is the final of a three part series
Part 2: - Regularized model vs OLS (incl. notebooks)
Part 1:
This community Feature Neutralization series was brought to you by Arbitrage and JRB:
- JRB has been participating in Numerai for over five years
- Arbitrage has been participating in Numerai since April 2016
Office Hours playlist:
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