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Do the FAMA and FRENCH five-factor model forecast well using ANN?
Jan, Muhammad Naveed; Ayub, Usman - In: Journal of business economics and management 20 (2019) 1, pp. 168-191
Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with the nonlinear nature of stock returns. Contrarily,...
Persistent link: https://www.econbiz.de/10012175006
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A Machine Learning Framework for Asset Pricing
Dillschneider, Yannick - 2022
This paper introduces a unified machine learning framework for solving general asset pricing problems. Building on representations of asset prices in discrete-time and continuous-time models, we develop a solution strategy using neural networks and further machine learning techniques to...
Persistent link: https://www.econbiz.de/10013290180
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
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...
Persistent link: https://www.econbiz.de/10013475217
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Comparing Quadratic and Non-Quadratic Local Risk Minimization for the Hedging of Contingent Claims
Abergel, Frederic - 2013
In this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local …
Persistent link: https://www.econbiz.de/10013087739
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Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Swaps
Rompolis, Leonidas - 2017
This paper suggests perfect hedging strategies of contingent claims under stochastic volatility and random jumps of the …&P 500 index, the paper provides clear cut evidence that hedging strategies employing variance and higher-order moment swaps … considerably improves upon the performance of traditional delta hedging strategies. Inclusion of the third-order moment swap …
Persistent link: https://www.econbiz.de/10012974755
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - 2023
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...
Persistent link: https://www.econbiz.de/10014349505
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023
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...
Persistent link: https://www.econbiz.de/10014322889
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Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?
Teng, Huei-Wen; Li, Yu-Hsien - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 149-182
Persistent link: https://www.econbiz.de/10014251571
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Large-scale empirical tests of the Markov Tree model
Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 280-318
-of-sample hedging errors than competing models. This comparison includes versions of Markov Tree and Black-Scholes models in which … indicates that the Markov Tree model's superior hedging performance is due to its robustness with respect to noise in option …
Persistent link: https://www.econbiz.de/10011312214
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Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General Lévy Framework Using the COS Method
Alonso-García, Jennifer - 2017
This paper extends the Fourier-cosine (COS) method to the pricing and hedging of variable annuities embedded with … computational times. The valuation framework forms the basis for GMWB hedging. A local risk minimisation approach to hedging inter …
Persistent link: https://www.econbiz.de/10012963415