We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize …

We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize …

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 …, liquidity, and volatility. Improved risk premium measurement through machine learning simplifies the investigation into economic …

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 …, liquidity, and volatility. Improved risk premium measurement through machine learning simplifies the investigation into economic …

"Financial Machine Learning surveys the nascent literature on machine learning in the study of financial markets. The …

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 …, liquidity, and volatility. Improved risk premium measurement through machine learning simplifies the investigation into economic …

with data snooping. By exploiting a variety of machine learning techniques, our multiple-testing procedure is robust to …