A factor pricing model based on machine learning algorithm
Year of publication: |
2023
|
---|---|
Authors: | Fang, Yi ; Chen, Yuzhi ; Ren, Hang |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 88.2023, p. 280-297
|
Subject: | Bootstrap | Factor pricing | Market anomalies | SVR | Wavelet transform | Theorie | Theory | CAPM | Faktorpreis | Factor price | Zustandsraummodell | State space model | Bootstrap-Verfahren | Bootstrap approach | Künstliche Intelligenz | Artificial intelligence |
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