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Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.
(2020-07-01)
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
(2020-07-03)
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 ...