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for designing investment solutions. …
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lender distress affected firm-level investment outcomes after the crisis. In specifications that compare firms in the same …
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We consider a gradient boosting decision trees (GBDT) approach to predict large S&P 500 price drops from a set of 150 technical, fundamental and macroeconomic features. We report an improved accuracy of GBDT over other machine learning (ML) methods on the S&P 500 futures prices. We show that...
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