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Author : Gerrit Liedtke
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book Essays on Empirical Asset Pricing Via Machine Learning written by Gerrit Liedtke and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Matthias Büchner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Essays in Empirical Asset Pricing with Machine Learning written by Matthias Büchner and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Matthias Bûchner
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (125 download)
Download or read book Essays in Empirical Asset Pricing with Machine Learning written by Matthias Bûchner and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Felix Kempf
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Essays in Empirical Asset Pricing with Machine Learning written by Felix Kempf and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tizian Otto
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Essays on the Application of Machine Learning Techniques in the Empirical Asset Pricing Research written by Tizian Otto and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shihao Gu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Empirical Asset Pricing Via Machine Learning written by Shihao Gu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We synthesize the field of machine learning with the canonical problem of empirical asset pricing: measuring asset risk premia. In the familiar empirical setting of cross section and time series stock return prediction, we perform a comparative analysis of methods in the machine learning repertoire, including generalized linear models, dimension reduction, boosted regression trees, random forests, and neural networks. At the broadest level, we find that machine learning offers an improved description of expected return behavior relative to traditional forecasting methods. Our implementation establishes a new standard for accuracy in measuring risk premia summarized by an unprecedented out-of-sample return prediction R2. We identify the best performing methods (trees and neural nets) and trace their predictive gains to allowance of nonlinear predictor interactions that are missed by other methods. Lastly, we find that all methods agree on the same small set of dominant predictive signals that includes variations on momentum, liquidity, and volatility. Improved risk premia measurement through machine learning can simplify the investigation into economic mechanisms of asset pricing and justifies its growing role in innovative financial technologies.
Author : Steffen Windmüller
Publisher :
ISBN 13 : 9783754155042
Total Pages : pages
Book Rating : 4.1/5 (55 download)
Download or read book Essays on Empirical Asset Pricing written by Steffen Windmüller and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stefan Nagel
Publisher : Princeton University Press
ISBN 13 : 0691218706
Total Pages : 156 pages
Book Rating : 4.6/5 (912 download)
Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Author : Liang Zhang
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (663 download)
Download or read book Two Essays on Empirical Asset Pricing written by Liang Zhang and published by . This book was released on 2008 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Junyan Shen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on Empirical Asset Pricing written by Junyan Shen and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lorne Dwight Johnson
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (458 download)
Download or read book Essays in Empirical Asset Pricing written by Lorne Dwight Johnson and published by . This book was released on 2000 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sungjun Cho
Publisher :
ISBN 13 : 9780549054023
Total Pages : 158 pages
Book Rating : 4.0/5 (54 download)
Download or read book Essays in Empirical Asset Pricing written by Sungjun Cho and published by . This book was released on 2007 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two chapters, all of which attempt to shed some light on what constitutes the time-varying risk premia in financial markets. The first chapter demonstrates that monetary policy shocks identified from New-Keynesian dynamic stochastic general equilibrium (DSGE) models explain the risk premia in stock markets. Indeed, the implied ICAPMs explain the value and the industry premia for the periods of 1980 to 2004. In particular, the permanent monetary policy shocks to inflation target capture the value premium and part of industry risk premium once I account for the capital market imperfection endogenously in New-Keynesian models. The shocks to investment technology, as a main determinant of the external finance premium, are also important for understanding the value premium.
Author : Alexandre Rubesam
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Empirical Asset Pricing Using Bayesian Methods written by Alexandre Rubesam and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kodjo Mawuelona Apedjinou
Publisher :
ISBN 13 :
Total Pages : 123 pages
Book Rating : 4.:/5 (254 download)
Download or read book Essays in Empirical Asset Pricing written by Kodjo Mawuelona Apedjinou and published by . This book was released on 2005 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Usman Ali
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (645 download)
Download or read book Essays in Empirical Asset Pricing written by Usman Ali and published by . This book was released on 2009 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Robert Smith
Publisher :
ISBN 13 :
Total Pages : 109 pages
Book Rating : 4.:/5 (852 download)
Download or read book Essays in Empirical Asset Pricing written by Daniel Robert Smith and published by . This book was released on 2003 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haidong Cai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (126 download)
Download or read book Essays in Empirical Asset Pricing written by Haidong Cai and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
