Shihao Gu

University of Chicago - Booth School of Business

Chicago, IL

United States

SCHOLARLY PAPERS

2

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21,329

SSRN CITATIONS
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Top 5,184

in Total Papers Citations

251

CROSSREF CITATIONS

9

Scholarly Papers (2)

1.
Downloads 14,577 ( 309)
Citation 115

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 14,476 (307)
Citation 25

Abstract:

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Machine Learning, Big Data, Return Prediction, Cross-Section of Returns, Ridge Regression, (Group) Lasso, Elastic Net, Random Forest, Gradient Boosting, (Deep) Neural Networks, Fintech

Empirical Asset Pricing Via Machine Learning

Number of pages: 80 Posted: 26 Dec 2018 Last Revised: 25 Nov 2021
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 101 (334,326)
Citation 64

Abstract:

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2.

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35 Posted: 07 Mar 2019 Last Revised: 01 Oct 2019
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 6,752 (1,290)
Citation 30

Abstract:

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stock returns, conditional asset pricing model, nonlinear factor model, machine learning, autoencoder, neural networks, big data