顶刊解读-机器学习与资产定价《Empirical Asset Pricing via Machine Learning》知乎讲解:https://zhuanlan.zhihu.com/p/506479744?utm_id=0 我在B站搞科研 知识 校园学习 金融 顶刊 投资 机器学习 股票 资产定价 期末生存大作战代码解析与论文精读 发消息 量化小白快速上手、机器学习策略讲解 ...
Empirical asset pricingThe tremendous speedup in computing in recent years, the low data storage costs of today, the availability of "big data" as well as the broad range of free open-source software, have created a renaissance in the application of machine learning techniques in science. ...
我们使用机器学习预测向投资者展示了巨大的经济收益,在某些情况下,文献中基于回归的领先策略的表现翻了一番。我们确定了表现最好的方法(树和神经网络),并跟踪它们的预测增益,以允许其他方法错过的非线性预测相互作用。所有的方法都认同同一组占主导地位的预测信号,这组信号包括动量、流动性和波动性的变化。 一、方法...
Empirical Asset Pricing via Machine Learning Gu, Kelly, and Xiu近期在RFS(The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2223–2273)期刊发表了题目为“Empirical Asset Pricing via Machine Learning”的论文 ,该论文总结了几类机器学习模型对比OLS的结果分析,强调了GBDT及神经网络模型...
Empirical Asset Pricing Via Machine Learning 报告人简介 吴宛珂,金融学院2019级金融工程硕士研究生,研究方向:资产定价,机器学习。 基本信息 文章题目:Empirical Asset Pricing Via Machine Learning 作者:Shihao Gu , Bryan T.Kelly , Dacheng X...
Refrence:Shihao Gu and others, Empirical Asset Pricing via Machine Learning, The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2223–2273, https://doi.org/10.1093/rfs/hhaa009
内容提示: NBER WORKING PAPER SERIESEMPIRICAL ASSET PRICING VIA MACHINE LEARNINGShihao GuBryan KellyDacheng XiuWorking Paper 25398http://www.nber.org/papers/w25398NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138December 2018We benefitted from discussions with Joseph Babcock,...
We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premiums. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based strategies...
一、科研方向 I am an assistant professor of statistics at the City University of Hong Kong College of Business. My research interests include financial time series, empirical asset pricing, machine learning, and quantitative finance. I am looking for prospective Ph.D. students and part-time ...
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