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Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis; … - National Bureau of Economic Research - 2023

We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure...

Persistent link: https://www.econbiz.de/10014337816

Fama-French three versus five, which model is better? : a machine learning approach

Diallo, Boubacar; Bagudu, Aliyu; Zhang, Qi - In: Journal of forecasting 42 (2023) 6, pp. 1461-1475

Persistent link: https://www.econbiz.de/10014338932

Nowcasting World Trade with Machine Learning : A Three-Step Approach

Chinn, Menzie David; Meunier, Baptiste; Stumpner, Sebastian - 2023

We nowcast world trade using machine learning, distinguishing between tree-based methods (random forest, gradient boosting) and their regression-based counterparts (macroeconomic random forest, linear gradient boosting). While much less used in the literature, the latter are found to outperform...

Persistent link: https://www.econbiz.de/10014352801

Complexity in Factor Pricing Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023

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

Statistical modeling and inference in the era of Data Science and Graphical Causal modeling

Spanos, Aris - In: Journal of economic surveys 36 (2022) 5, pp. 1251-1287

Persistent link: https://www.econbiz.de/10013464568

Essays in financial econometrics

Siggaard, Mathias Voldum - 2022 - This version: November 1, 2022

Persistent link: https://www.econbiz.de/10014259181

Geographically weighted regression with the integration of machine learning for spatial prediction

Yang, Wentao; Deng, Min; Tang, Jianbo; Luo, Liang - In: Journal of geographical systems : geographical … 25 (2023) 2, pp. 213-236

Persistent link: https://www.econbiz.de/10014265917

Unlocking the potential of predictive analytics in financial decision-making

Mehta, Mankaj; Gupta, Gaurav; Goyal, Rajan; Bathla, Devesh - In: Artificial intelligence and machine learning-powered …, (pp. 187-201). 2024

Persistent link: https://www.econbiz.de/10014525025

Probabilistic machine learning for finance and investing : a primer to the next generation of AI with python

Kanungo, Deepak K. - 2023 - First edition

"By moving away from flawed statistical methodologies, you'll move toward an intuitive view of probability as a mathematically rigorous statistical framework that quantifies uncertainty holistically and successfully. This book shows you how."

Persistent link: https://www.econbiz.de/10014518412

Statistical and machine learning for credit risk parameter modeling

Zöllner, Marvin - 2023 - 1st edition

Die Dissertation befasst sich mit der Anwendung von statistischem und maschinellem Lernen zur Modellierung der … Verlustquote bei Ausfall (LGD). Im Forschungsgebiet der LGD-Modellierung gibt es eine Reihe von Fragen und Problemen, die bisher in … Prognosefähigkeit von Schätzmethoden entscheidend sind und welche Schätzmethode für die LGD-Modellierung am besten geeignet ist …

Persistent link: https://www.econbiz.de/10014427183