Kelly, Bryan T. and Xiu, Dacheng, Financial Machine Learning (July 1, 2023)We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. ...
1 Introduction: The Case for Financial Machine Learning 1.1 Prices are Predictions 1.2 Information Sets are Large 1.3 Functional Forms are Ambiguous 1.4 Machine Learning versus Econometrics 1.5 Challenges of Applying Machine Learning in Finance (and the Benefits of Economic Structure) 1.6 Economic ...
Financial Machine Learningdoi:10.2139/ssrn.4520856We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offeKelly, Bryan T.Xiu, Dacheng
Dacheng Xiu, University of Chicago Booth School of Business Liyan Yang, University of Toronto Special issue information: The Journal of Financial Markets invites paper submissions for a Special Issue on the theme of “Machine Learning, Generative AI, and Trading." Papers of interest are those that...
The data is constructed from the Risk Lab on Dacheng Xiu’s websiteFootnote 3 and the S&P 500 is certainly a very relevant financial index. It is not important if we insert \(\sigma _{j\Delta}^{2}\), or a square root \(\sigma _{j\Delta}\), in (22). The definition without ...
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作者:Bryan Kelly and Dacheng XiuElectronic copy available at: https://ssrn.com/abstract=4501707Content2 The Virtues of Complex Models 2.1 Tools For Analyzing Machine Learning Models 2.2 Bigger Is O…
Gu, Shihao, Bryan Kelly, and Dacheng Xiu. 2020. Empirical Asset Pricing via Machine Learning. The Review of Financial Studies 33: 2223–73. [Google Scholar] [CrossRef] [Green Version] Guiso, Luigi, and Eliana Viviano. 2015. How much can financial literacy help? Review of Finance 19: 1347...