Factor Models, Machine Learning, and Asset Pricing
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DOI: 10.1146/annurev-financial-101521-104735
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Cited by:
- Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
- Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Jun 2023.
- Yujie Ding & Shuai Jia & Tianyi Ma & Bingcheng Mao & Xiuze Zhou & Liuliu Li & Dongming Han, 2023. "Integrating Stock Features and Global Information via Large Language Models for Enhanced Stock Return Prediction," Papers 2310.05627, arXiv.org.
- Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
- Kelvin J. L. Koa & Yunshan Ma & Ritchie Ng & Tat-Seng Chua, 2024. "Learning to Generate Explainable Stock Predictions using Self-Reflective Large Language Models," Papers 2402.03659, arXiv.org, revised Feb 2024.
- Nie, Chun-Xiao & Song, Fu-Tie, 2023. "Stable versus fragile community structures in the correlation dynamics of Chinese industry indices," Chaos, Solitons & Fractals, Elsevier, vol. 167(C).
- Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation," Papers 2301.13594, arXiv.org.
- Juan Tenorio & Wilder Perez, 2024. "Monthly GDP nowcasting with Machine Learning and Unstructured Data," Papers 2402.04165, arXiv.org.
More about this item
Keywords
asset pricing; factor models; machine learning; risk premium; stochastic discount factor;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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