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cross-sectional

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This project was conducted in an academic context as a part of my Data Analytics for Business and Society master's at the University of Ca' Foscari Venice. It assesses the potential relationship between the outcome of the US 2020 presidential elections and some of the major economic factors by american county .

  • Updated Jan 22, 2025
  • Jupyter Notebook

Cross-sectional Transformer and FFN for stock return prediction and alpha generation. Implements GKX (2020) NN5 replication and MSRR loss (Kelly et al. 2025) for direct portfolio Sharpe optimization. Avg SDF Sharpe 2.05, significant alpha (t=5.34) unexplained by FF5+Momentum.

  • Updated Apr 13, 2026
  • Python

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