Autoencoder asset pricing models

DOI10.1016/j.jeconom.2020.07.009zbMath1471.62394OpenAlexW3122785968MaRDI QIDQ2658795

Bryan Kelly, Dacheng Xiu, Shihao Gu

Publication date: 24 March 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.009

zbMATH Keywords

autoencoderneural networksstock returnsmachine learningbig datanonlinear factor modelconditional asset pricing model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Statistical aspects of big data and data science (62R07)

Related Items (5)

Editorial for the special issue on financial econometrics in the age of the digital economy ⋮ Deep differentiable reinforcement learning and optimal trading ⋮ A penalized two-pass regression to predict stock returns with time-varying risk premia ⋮ Deep-learning models for forecasting financial risk premia and their interpretations ⋮ Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction

Uses Software

• darch
• Adam

Cites Work

• Unnamed Item
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• Efficient Semiparametric Estimation of the Fama-French Model and Extensions
• Reducing the Dimensionality of Data with Neural Networks
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Determining the Number of Factors in the General Dynamic Factor Model
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Common risk factors in the returns on stocks and bonds
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Projected principal component analysis in factor models

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