Machine learning in asset pricing / Stefan Nagel.

Format:

Book

Author/Creator:

Nagel, Stefan, 1973- author.

Series:

Princeton lectures in finance.

Princeton lectures in finance

Language:

English

Subjects (All):

Capital assets pricing model.

Machine learning--Economic aspects.

Machine learning.

Finance--Mathematical models.

Finance.

Physical Description:

1 online resource (1 online resource 157 p..)

Place of Publication:

Princeton, New Jersey ; Oxford, England : Princeton University Press, [2021]

Summary:

Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing.

Contents:

Frontmatter

CONTENTS

Preface

Machine Learning in Asset Pricing

Chapter 1 Introduction

Chapter 2 Supervised Learning

Chapter 3 Supervised Learning in Asset Pricing

Chapter 4 ML in Cross-Sectional Asset Pricing

Chapter 5 ML as Model of Investor Belief Formation

Chapter 6 A Research Agenda

Bibliography

Index

Notes:

Also issued in print: 2021.

Includes bibliographical references and index.

Description based on online resource; title from home page (viewed on May 6, 2022).

Description based on print version record.

ISBN:

9780691218717

0691218714

OCLC:

1239985018