Essays In Empirical Asset Pricing With Machine Learning
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Essays In Empirical Asset Pricing With Machine Learning
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Author : Matthias Bûchner
language : en
Publisher:
Release Date : 2020
Essays In Empirical Asset Pricing With Machine Learning written by Matthias Bûchner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Essays In Empirical Asset Pricing With Machine Learning
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Author : Matthias Büchner
language : en
Publisher:
Release Date : 2021
Essays In Empirical Asset Pricing With Machine Learning written by Matthias Büchner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Capital assets pricing model categories.
Essays In Empirical Asset Pricing With Machine Learning
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Author : Felix Kempf
language : en
Publisher:
Release Date : 2022
Essays In Empirical Asset Pricing With Machine Learning written by Felix Kempf and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Essays On Empirical Asset Pricing Via Machine Learning
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Author : Gerrit Liedtke
language : en
Publisher:
Release Date : 2023
Essays On Empirical Asset Pricing Via Machine Learning written by Gerrit Liedtke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
Essays On The Application Of Machine Learning Techniques In The Empirical Asset Pricing Research
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Author : Tizian Otto
language : en
Publisher:
Release Date : 2022
Essays On The Application Of Machine Learning Techniques In The Empirical Asset Pricing Research written by Tizian Otto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Essays On Empirical Asset Pricing And Fintech
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Author : Amin Shams Moorkani
language : en
Publisher:
Release Date : 2019
Essays On Empirical Asset Pricing And Fintech written by Amin Shams Moorkani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This dissertation studies the determinants of return structure in the cross-section of cryptocurrencies as well as the time-series of market returns during the boom of 2017, the largest known price increase in the history of finance. The first chapter examines the cross-section of cryptocurrencies and hypothesizes and tests that, because of cryptocurrencies' unique features, common demand shocks should be the main driver of the covariance structure of cryptocurrency returns. I proxy for the degree of overlapping exposure to correlated demand shocks using a pairwise “connectivity” measure based on cryptocurrencies' trading locations. I find that this “connectivity” measure explains substantial covariation in the cross-section of cryptocurrency returns. Connected currencies exhibit substantial contemporaneous covariation. In addition, currencies connected to those that perform well outperform currencies connected to those that perform poorly by 71 basis points over the next day and 214 basis points over the next week. Evidence from new exchange listings and a quasi-natural experiment exploiting the shutdown of Chinese exchanges shows that the results cannot be explained by endogenous sorting of currencies into exchanges. Moreover, using machine learning techniques to analyze social media data, I find that the demand effects are 40 to 50% larger for currencies that rely more heavily on network externalities of user adoption. This amplified effect is consistent with the notion that demand for a cryptocurrency not only signals investment motives, but also can be perceived as user adoption that potentially affects the fundamental value of these assets. The second chapter examines the time-series of Bitcoin and the aggregate cryptocurrency returns during the boom of 2017. In particular, Bitcoin and other cryptocurrencies offer the promise of an anonymous, decentralized financial system free from banks and government intervention. Ironically, new large entities have gained centralized control over the vast majority of operations in the cryptocurrency world. One type of these large centralized entities is stable coin issuers who can act as a central bank in the crypto world by controlling the supply of money. This chapter examines the role of the largest stable coin, Tether, on Bitcoin and other cryptocurrency prices. Using algorithms to analyze blockchain data, we find that purchases with Tether are timed following market downturns and result in sizable increases in Bitcoin prices. The flow is attributable to one entity, clusters below round prices, induces asymmetric autocorrelations in Bitcoin, and suggests insufficient Tether reserves before month-ends. Rather than demand from cash investors, these patterns are most consistent with the supply-based hypothesis of unbacked digital money inflating cryptocurrency prices
Machine Learning In Asset Pricing
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Author : Stefan Nagel
language : en
Publisher: Princeton University Press
Release Date : 2021-05-11
Machine Learning In Asset Pricing written by Stefan Nagel and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-11 with Business & Economics categories.
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.
Essays In Empirical Asset Pricing
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Author : Haidong Cai
language : en
Publisher:
Release Date : 2021
Essays In Empirical Asset Pricing written by Haidong Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Essays In Empirical Asset Pricing
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Author : Y. Wang
language : en
Publisher:
Release Date : 2022
Essays In Empirical Asset Pricing written by Y. Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Two Essays On Empirical Asset Pricing
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Author : Liang Zhang
language : en
Publisher:
Release Date : 2008
Two Essays On Empirical Asset Pricing written by Liang Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Stocks categories.