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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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
KeAi Communications Co., Ltd.
2022
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/3d705e58b42b4cf7a6d9cbe210af6116 |
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