Marcial Messmer

University of St. Gallen

Langgasse 1

St. Gallen, 9008

Switzerland

SCHOLARLY PAPERS

2

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CITATIONS
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Top 47,750

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6

Scholarly Papers (2)

1.

Deep Learning and the Cross-Section of Expected Returns

Number of pages: 56 Posted: 06 Dec 2017 Last Revised: 11 Dec 2017
Marcial Messmer
University of St. Gallen
Downloads 2,248 (5,812)
Citation 3

Abstract:

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Cross Section of Returns, Deep Learning, Asset Pricing, Factor Models, Machine Learning

2.

The (Adaptive) Lasso in the Zoo - Firm Characteristic Selection in the Cross-Section of Expected Returns

Number of pages: 46 Posted: 10 Mar 2017
Marcial Messmer and Francesco Audrino
University of St. Gallen and University of St. Gallen
Downloads 347 (84,757)
Citation 3

Abstract:

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Factor models, cross-section, Lasso, asset pricing, firm characteristics selection