Article citationsMore>>

Gu, S., Kelly, B. and Xiu, D. (2018) Empirical Asset Pricing via Machine Learning.
https://doi.org/10.3386/w25398

has been cited by the following article:

• TITLE: Asset Return Prediction via Machine Learning

  AUTHORS: Liangliang Zhang

  KEYWORDS: Clustering, Classification, Regression, Unsupervised Learning, Supervised Learning, Deep Neural Networks, Machine Learning, Asset Returns, Prediction, Investment Strategies, Universal Approximation Theorem

  JOURNAL NAME: Journal of Mathematical Finance, Vol.9 No.4, October 30, 2019

  ABSTRACT: In this paper, we provide insights on the prediction of asset returns via novel machine learning methodologies. Machine learning clustering-enhanced classification and regression techniques to predict future asset return movements are proposed and compared. Numerical experiments show good applicability of the methodologies and backtesting unveils superior results in China A-shares markets.