We propose a 4-factor model for the Chinese stock market by adding a trend factor into the market, size, and value of Liu, Stambaugh, and Yuan's (2019) 3-factor model. Because of up to 80% of individual trading, the trend factor captures salient relevant price and volume trends, and earns a...

Automated machine learning extends the search space to include hyperparameters and algorithm selection. We apply automated machine learning (AutoML) to cross sectional stock return prediction with factors. We formulate factor dimension reduction and hyperparameter tuning in conventional ML...

Automated machine learning extends the search space to include hyperparameters and algorithm selection. We apply automated machine learning (AutoML) to cross sectional stock return prediction with factors. We formulate factor dimension reduction and hyperparameter tuning in conventional ML...

We propose a unsupervised learning approach to construct latent factor model for cross sectional asset returns where firm characteristics instrument for the dynamic factor exposures. Firm characteristics are clustered with consideration to their prior economic content. Our method can also be...

Technical analysis is the study for forecasting future asset prices with past data. In this survey, we review and extend studies on not only the time-series predictive power of technical indicators on the aggregated stock market and various portfolios, but also the cross-sectional predictability...

Using no arbitrage principle, we derive a relation between the drift term of risk-neutral dynamics for instantaneous variance and the term structure of forward variance. We show that the forward variance curve can be derived from options market. Based on the variance term structure, we derive a...

In this paper, we analyze the usefulness of technical analysis, specifically the widely employed moving average trading rule from an asset allocation perspective. We show that, when stock returns are predictable, technical analysis adds value to commonly used allocation rules that invest fixed...

We study an investor’s asset allocation problem with a recursive utility and with tradable volatility that follows a 2-factor stochastic volatility model. Consistent with previous findings under the additive utility, we show that the investor can benefit substantially from volatility trading...

VIX futures are exchange‐traded contracts on a future volatility index (VIX) level derived from a basket of S&P 500 (SPX) stock index options. The authors posit a stochastic variance model of VIX time evolution, and develop an expression for VIX futures. Free parameters are estimated from...