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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| Main Author: | |
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| Format: | article |
| Language: | EN |
| Published: |
KeAi Communications Co., Ltd.
2022
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| Subjects: | |
| Online Access: | https://doaj.org/article/3d705e58b42b4cf7a6d9cbe210af6116 |
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