Essays In Machine Learning Applications For Asset Pricing
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Essays In Machine Learning Applications For Asset Pricing
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Author : Yavor Kovachev
language : en
Publisher:
Release Date : 2021
Essays In Machine Learning Applications For Asset Pricing written by Yavor Kovachev 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 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 In Asset Pricing And Machine Learning
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Author : Jason Yue Zhu
language : en
Publisher:
Release Date : 2021
Essays In Asset Pricing And Machine Learning written by Jason Yue Zhu 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.
In this thesis we study two applications of machine learning to estimate models that explains asset prices by harnessing the vast quantity of asset and economic information while also capturing complex structure among sources of risk. First we show how to build a cross-section of asset returns, that is, a small set of basis or test assets that capture complex information contained in a given set of characteristics and span the Stochastic Discount Factor (SDF). We use decision trees to generalize the concept of conventional sorting and introduce a new approach to robustly recover the SDF, which endogenously yields optimal portfolio splits. These low-dimensional investment strategies are well diversified, easily interpretable, and reflect many characteristics at the same time. Empirically, we show that traditional cross-sections of portfolios and their combinations, especially deciles and long-short anomaly factors, present too low a hurdle for model evaluation and serve as the wrong building blocks for the SDF. Constructed from the same pricing signals, our cross-sections have significantly higher (up to a factor of three) out-of-sample Sharpe ratios and pricing errors relative to the leading reduced-form asset pricing models. In the second part of the thesis, I present deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key innovations are to use the fundamental no-arbitrage condition as criterion function to construct the most informative test assets with an adversarial approach and to extract the states of the economy from many macroeconomic time series. Our asset pricing model outperforms out-of-sample all benchmark approaches in terms of Sharpe ratio, explained variation and pricing errors and identifies the key factors that drive asset 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 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 : 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 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 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 Conditional Asset Pricing And Machine Learning In Finance
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Author : Stephen Owen
language : en
Publisher:
Release Date : 2021
Essays On Conditional Asset Pricing And Machine Learning In Finance written by Stephen Owen 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.
In recent years there has been wide-scale access to improved statistical estimation techniques and the implementation of such techniques in financial economics. In this dissertation, I provide two brief overviews of the evolution of linear factor models in asset pricing and machine learning in finance. I then provide four research essays that implement machine learning in financial economic research settings. The first essay revisits tests of the conditional Capital Asset Pricing Model in an international context using multivariate generalized autoregressive conditional heteroskedasticity techniques. The second essay studies the use of hierarchical clustering in mean-variance optimal portfolio management. The third essay proposes a novel paragraph embedding technique that leverages the question-and-answer structure of earnings announcement calls to model the similarity between documents. The fourth and final essay studies the impact that dodgy managers have on idiosyncratic security performance.
Essays On Asset Pricing And Machine Learning
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Author : Matteo Bagnara
language : en
Publisher:
Release Date : 2023
Essays On Asset Pricing And Machine Learning written by Matteo Bagnara 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.