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...
Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | article |
| Langue: | EN |
| Publié: |
KeAi Communications Co., Ltd.
2022
|
| Sujets: | |
| Accès en ligne: | https://doaj.org/article/3d705e58b42b4cf7a6d9cbe210af6116 |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Soyez le premier à ajouter un commentaire!