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Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.
There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics ...
Deep Learning and the Heston Model:Calibration & Hedging
The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen ...