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能否让机器学习弱信号？岭回归 > 零 > Lasso [Aligrithm]
把920个公司特征输入Lasso模型来预测下月股票收益，它会做出一件让你不寒而栗的事：输给一个对所有股票都预测为零的模型。不是"表现逊于某个优秀基准"，而是输给数字0本身。Shen和Xiu证明，这并非运气不佳或代码错误。在经济学和金融学真实存在的那个范式中——信号本就
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Can Machines Learn Weak Signals? Ridge > Zero > Lasso [Aligrithm]
Feed 920 firm characteristics into a Lasso to predict next month's stock returns and it will do something that should stop you cold: it loses to a model that predicts zero for every stock. Not "underperforms a good benchmark." Loses to the number 0. Shen and Xiu prove this is not bad luck or a coding bug. In the regime where economics and finance actually live, where signals are
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已转化为模式：多特征弱信号岭回归选股策略