Bighead's Algorithm Notes

Feb 27, 2026 · Artificial Intelligence

Paper Review: NeurIF – Feature‑Controlled Learning of Dynamic Asset‑Pricing Factors and Loadings

NeurIF introduces a neural instrumented factorization framework that leverages company features as instruments, combines spatial and temporal attention to learn time‑varying latent factors and their loadings, achieves 1‑18% RMSE improvement over transformer baselines, and produces statistically significant long‑short portfolios that explain cross‑sectional pricing anomalies.