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Persistent link: https://www.econbiz.de/10015047369
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...
Persistent link: https://www.econbiz.de/10014353489
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...
Persistent link: https://www.econbiz.de/10014346975
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...
Persistent link: https://www.econbiz.de/10014256230