Multi-Factor Inception: What to Do with All of These Features?
Liu and Zohren (2023) study factor investing in crypto over 2022–2023. The abstract mentions a Sharpe ratio but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Similar to DINs, MFIN models automatically learn features from returns data and output position sizes that optimise portfolio Sharpe ratio.”
AssetCryptospot crypto
StrategyFactor investingmomentum
FrequencyDaily
Sample window2022–2023
Also stated: Sharpe ratio, Alternative data
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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