Deep learning in asset pricing
Year of publication: |
2024
|
---|---|
Authors: | Chen, Luyang ; Pelger, Markus ; Zhu, Jason |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 2, p. 714-750
|
Subject: | big data | conditional asset pricing model | cross-section of expected returns | deep learning | GMM | hidden states | machine learning | no arbitrage | nonlinear factor model | stock returns | CAPM | Kapitaleinkommen | Capital income | Künstliche Intelligenz | Artificial intelligence | Momentenmethode | Method of moments | Lernprozess | Learning process | Kapitalmarktrendite | Capital market returns | Prognoseverfahren | Forecasting model | Kapitalmarkttheorie | Financial economics |
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