Persistence in factor-based supervised learning models

In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We find that predictive algorithms perform best when they are trained on long samples, with long-term returns as dependent variables. In addition, we report th...

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Detalles Bibliográficos
Autor principal: Guillaume Coqueret
Formato: article
Lenguaje:EN
Publicado: KeAi Communications Co., Ltd. 2022
Materias:
C45
C53
G11
G12
Acceso en línea:https://doaj.org/article/3d705e58b42b4cf7a6d9cbe210af6116
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