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set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i …
Persistent link: https://www.econbiz.de/10012456900
Sparse models, though long preferred and pursued by social scientists, can be ineffective or unstable relative to large models, for example, in economic predictions (Giannone et al., 2021). To achieve sparsity for economic interpretation while exploiting big data for superior empirical...
Persistent link: https://www.econbiz.de/10014322811
We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present in both discrete and...
Persistent link: https://www.econbiz.de/10014437010
In over-the-counter (OTC) markets, customers search for counterparties. Little is known about this process, however, because existing data is comprised of transaction records, which are only informative about the end of a successful search. Leveraging data from the leading trading platform for...
Persistent link: https://www.econbiz.de/10014437035
Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the predictions of microstructure models. Higher volatility is associated with faster, initially stronger reversals, while lower turnover is associated with more persistent, ultimately...
Persistent link: https://www.econbiz.de/10014226114
Using a two-period model of a commodity market with a large number of atomistic consumers and two strategic sellers, we show that a speculator with access to storage can lower the market price while buying and raise the price while selling by clever use of limit, stop-loss, and market orders....
Persistent link: https://www.econbiz.de/10013537722
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...
Persistent link: https://www.econbiz.de/10014372446
A lot! Profitability subsumes all of "quality" investing, explaining both the performance of the strategies that industry markets and the factors that academics employ. It also has striking power pricing "defensive equity" strategies that overweight low-beta or low-volatility stocks....
Persistent link: https://www.econbiz.de/10015361477
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889
parameters of the best linear approximation is characterized via its support function, and limit theory is developed for the …
Persistent link: https://www.econbiz.de/10012479546