Machine learning and the cross-section of emerging market stock returns
MX Hanauer, T Kalsbach - Emerging Markets Review, 2023 - Elsevier
This paper compares various machine learning models to predict the cross-section of
emerging market stock returns. We document that allowing for non-linearities and …
emerging market stock returns. We document that allowing for non-linearities and …
Machine learning goes global: Cross-sectional return predictability in international stock markets
We examine return predictability with machine learning in 46 stock markets around the
world. We calculate 148 firm characteristics and use them to feed a repertoire of different …
world. We calculate 148 firm characteristics and use them to feed a repertoire of different …
Machine learning and the cross-section of cryptocurrency returns
We employ a repertoire of machine learning models to investigate the cross-sectional return
predictability in cryptocurrency markets. While all methods generate substantial economic …
predictability in cryptocurrency markets. While all methods generate substantial economic …
Does the CFTC Report Have Predictive Power: Machine Learning Approach
O Proskurin - The Journal of Financial Data Science, 2021 - pm-research.com
This article investigates the forecasting power of features extracted from the Commodity
Futures Trading Commission (CFTC) Commitments of Traders (COT) report for the most …
Futures Trading Commission (CFTC) Commitments of Traders (COT) report for the most …
Essays on Empirical Asset Pricing
T Kalsbach - 2023 - mediatum.ub.tum.de
This dissertation examines three research questions on empirical asset pricing. First, I
analyze the relation between the slow diffusion of information components from linked firms …
analyze the relation between the slow diffusion of information components from linked firms …
expanding the frontiers of data-driven investing
FJ FABOZZI, ML DE PRADO, J SIMONIAN - pm-research.com
In the lead article, Sanjiv R. Das, Seoyoung Kim, and Bhushan Kothari demonstrate how
natural language processing—a fast-growing field within financial data science concerned …
natural language processing—a fast-growing field within financial data science concerned …