We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market...

In this paper, we study and put under a common framework a number of non-linear dimensionality reduction methods, such as Locally Linear Embedding, Isomap, Laplacian Eigenmaps and kernel PCA, which are based on performing an eigen-decomposition (hence the name 'spectral'). That framework also...

There has been an increase of interest for semi-supervised learning recently, because of the many datasets with large amounts of unlabeled examples and only a few labeled ones. This paper follows up on proposed non-parametric algorithms which provide an estimated continuous label for the given...