by Dacheng Xiu, Shihao Gu
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Start with the foundations, then use the reading focus to connect the paper to further study.
Preserve time order and avoid future information in training.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Account for dependence and overlapping observations.
Examine which information contributes to predictions.
Connect factor definitions to portfolio construction.
Learn statistical learning, establish simple baselines, and evaluate financial predictions without leaking the future.
Use an auditable backtest before evaluating a learned signal.
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