Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

In asset pricing, most studies focus on finding new factors such as macroeconomic factors or firm characteristics to explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in the field of finance and computer science. This paper...

This paper introduces novel financial predictors that are derived from the interaction profile of financial markets. These predictors utilize network-based and topological information. Since these predictors are derived from the inner dynamics (microstructure) of financial markets, they can be...

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

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...

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...

We construct a unique and comprehensive data set of 19 real-time daily macroeconomic indicators for 11 Eurozone countries, for the 5/11/2009{4/25/2013 period. We use this new data set to characterize the time-varying dependence of the cross-section of sovereign credit default swap (CDS) spreads...