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deep learning
Markus Pelger — Deep Learning in Asset Pricing
George B. Dantzig Auditorium - 1174 Etcheverry Hall Etcheverry Hall, Berkeley, CA, United StatesAbstract: We propose a novel approach to estimate asset pricing models for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. Our general non-linear asset pricing model is estimated with deep neural networks applied to all U.S. equity data combined with…
Markus Pelger — Deep Learning in Asset Pricing
George B. Dantzig Auditorium - 1174 Etcheverry Hall Etcheverry Hall, Berkeley, CA, United StatesAbstract: We propose a novel approach to estimate asset pricing models for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. Our general non-linear asset pricing model is estimated with deep neural networks applied to all U.S. equity data combined with…