Zobrazeno 1 - 3
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pro vyhledávání: '"Marcial Messmer"'
Autor:
Marcial Messmer, Francesco Audrino
Publikováno v:
Forecasting, Vol 4, Iss 4, Pp 969-1003 (2022)
We investigate whether Lasso-type linear methods are able to improve the predictive accuracy of OLS in selecting relevant firm characteristics for forecasting the future cross-section of stock returns. Through extensive Monte Carlo simulations, we sh
Externí odkaz:
https://doaj.org/article/8e880db27c8a432a85c5d995ff85f561
Autor:
Francesco Audrino, Marcial Messmer
Publikováno v:
SSRN Electronic Journal.
We find short-term reversal, the twelve-months momentum and research spending scaled by market-value to be the firm characteristics (FC) most robustly selected by the adaptive Lasso in the US cross-section of stock returns. Moreover, the majority of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0cfc7da2fef406b54776b0dca79789d1
https://doi.org/10.2139/ssrn.2930436
https://doi.org/10.2139/ssrn.2930436
Autor:
Marcial Messmer
Publikováno v:
SSRN Electronic Journal.
Deep learning is an active area of research in machine learning. I train deep feedforward neural networks (DFN) based on a set of 68 firm characteristics (FC) to predict the US cross-section of stock returns. After applying a network optimization str
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3b957432ec201d10568b4b747c2f7330
https://doi.org/10.2139/ssrn.3081555
https://doi.org/10.2139/ssrn.3081555