AI trained on fundamentals says which stocks will crash in sync
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Neural net models correlations without a returns history and could improve stress testing
An AI model trained only on slow-moving fundamental data has proven to equal traditional methods of determining which stocks might sink together in a sell-off.
The new approach allows investors to predict correlations for stocks with no returns history. It can also help in the creation of hypothetical scenarios for stress testing, quants say.
Charles-Albert Lehalle, professor at Ecole Polytechnique
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