Demo Data from EDBT 2026 / reviewers in the wild / expert
John Alberg
dblp:210/2335
· DBLP profile ↗
1ranked-venue papers
0as first author
0since 2021 · last 2020
—ORCID · none
Domains — the database's venue-derived domains; a paper can count in several
Artificial intelligence and machine learning · 1
Expertise — from the expertise taxonomy: the topics of the expert's papers under the CCF categories. A weight counts papers with recency: 1 for a paper about the topic, 0.3 when the topic is its context, halved every five years.
| Artificial intelligence
1 paper |
Trustworthy machine learning · 50% Probabilistic and Bayesian machine learning · 50% | |
| Interdisciplinary, comprehensive, and emerging computing
1 paper |
Computational finance and economics · 100% |
Topics — the 4 heaviest of 4, each with the papers that count most for it
| Topic | Weight | Papers | Last | Evidence papers |
|---|---|---|---|---|
Machine learning › Probabilistic and Bayesian machine learning › statistical inference › regression › probabilistic regression
heteroscedastic regression |
0.4 | 1 | 2020 | Uncertainty-Aware Lookahead Factor Models for Quantitative Investing · ICML 2020 |
Machine learning › Trustworthy machine learning
uncertainty estimation |
0.4 | 1 | 2020 | Uncertainty-Aware Lookahead Factor Models for Quantitative Investing · ICML 2020 |
Computational finance and economics › quantitative investment
factor model |
0.4 | 1 | 2020 | Uncertainty-Aware Lookahead Factor Models for Quantitative Investing · ICML 2020 |
Computational finance and economics
quantitative investment |
0.4 | 1 | 2020 | Uncertainty-Aware Lookahead Factor Models for Quantitative Investing · ICML 2020 |
Methods — techniques the papers use, named apart from their topics
dropout · 0.9deep neural network · 0.9backtesting · 0.9
| Year | Publication | Venue | Position |
|---|---|---|---|
| 2020 | Uncertainty-Aware Lookahead Factor Models for Quantitative InvestingabstractOn a periodic basis, publicly traded companies report fundamentals, financial data including revenue, earnings, debt, among others. Quantitative finance research has identified several factors, functions of the reported data that historically correlate with stock market performance. In this paper, we first show through simulation that if we could select stocks via factors calculated on future fundamentals (via oracle), that our portfolios would far outperform standard factor models. Motivated by this insight, we train deep nets to forecast future fundamentals from a trailing 5-year history. We propose lookahead factor models which plug these predicted future fundamentals into traditional factors. Finally, we incorporate uncertainty estimates from both neural heteroscedastic regression and a dropout-based heuristic, improving performance by adjusting our portfolios to avert risk. In retrospective analysis, we leverage an industry-grade portfolio simulator (backtester) to show simultaneous improvement in annualized return and Sharpe ratio. Specifically, the simulated annualized return for the uncertainty-aware model is 17.7% (vs 14.0% for a standard factor model) and the Sharpe ratio is 0.84 (vs 0.52). Lakshay Chauhan, John Alberg, Zachary C. Lipton |
ICML | 2 |