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Are bigger AI models better stock pickers? Maybe, but probably not

Complexity ain’t all that, wonks say
Page 52 of the proof section of The Virtue of Complexity in Return Prediction

In December 2021, Bryan Kelly, head of machine learning at quant house AQR Capital Management, put his name to an academic paper that caused quite a stir.

The Virtue of Complexity in Return Prediction — co-authored by Kelly with Semyon Malamud and Kangying Zhou — found that complex machine-learning models were better than simple ones at predicting stock prices and building portfolios.

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