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Showing 5 of 5 academic articles

Empirical Asset Pricing via Machine Learning

Shihao Gu, Bryan Kelly, Dacheng Xiu • National Bureau of Economic Research (2018)

We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia.We demonstrate large economic gains to investors using machine learning forecasts, in some cases...

OPENALEX Open Access DOI: https://doi.org/10.3386/w25398

Machine learning in the Chinese stock market

Markus Leippold, Qian Wang, Wenyu Zhou • Journal of Financial Economics (2021)

We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of return prediction factors using various machine learning algorithms. Contrasting previous studies for ...

OPENALEX cc-by DOI: https://doi.org/10.1016/j.jfineco.2021.08.017

Empirical Asset Pricing via Machine Learning

Shihao Gu, Bryan Kelly, Dacheng Xiu • Review of Financial Studies (2020)

Abstract 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, i...

OPENALEX cc-by-nc-nd DOI: https://doi.org/10.1093/rfs/hhaa009