Essays on Empirical Asset Pricing Via Machine Learning
Title | Essays on Empirical Asset Pricing Via Machine Learning PDF eBook |
Author | Gerrit Liedtke |
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Pages | 0 |
Release | 2023 |
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Essays in Empirical Asset Pricing with Machine Learning
Title | Essays in Empirical Asset Pricing with Machine Learning PDF eBook |
Author | Matthias Bûchner |
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Pages | |
Release | 2020 |
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Essays in Empirical Asset Pricing with Machine Learning
Title | Essays in Empirical Asset Pricing with Machine Learning PDF eBook |
Author | Matthias Büchner |
Publisher | |
Pages | 0 |
Release | 2021 |
Genre | Capital assets pricing model |
ISBN |
Essays in Empirical Asset Pricing with Machine Learning
Title | Essays in Empirical Asset Pricing with Machine Learning PDF eBook |
Author | Felix Kempf |
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Pages | 0 |
Release | 2022 |
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ISBN |
Essays on the Application of Machine Learning Techniques in the Empirical Asset Pricing Research
Title | Essays on the Application of Machine Learning Techniques in the Empirical Asset Pricing Research PDF eBook |
Author | Tizian Otto |
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Pages | 0 |
Release | 2022 |
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ISBN |
Empirical Asset Pricing Via Machine Learning
Title | Empirical Asset Pricing Via Machine Learning PDF eBook |
Author | Shihao Gu |
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Pages | 0 |
Release | 2018 |
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ISBN |
We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based strategies from the literature. We identify the best performing methods (trees and neural networks) and trace their predictive gains to allowance of nonlinear predictor interactions that are missed by other methods. All methods agree on the same set of dominant predictive signals which includes variations on momentum, liquidity, and volatility. Improved risk premium measurement through machine learning simplifies the investigation into economic mechanisms of asset pricing and highlights the value of machine learning in financial innovation.
Essays on Empirical Asset Pricing
Title | Essays on Empirical Asset Pricing PDF eBook |
Author | Steffen Windmüller |
Publisher | |
Pages | |
Release | 2021 |
Genre | |
ISBN | 9783754155042 |