Jason Zhu

Stanford University - Management Science & Engineering

314L Huang Engineering Center

475 Via Ortega

Stanford, CA 94305

United States

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Deep Learning in Asset Pricing

Number of pages: 89 Posted: 04 Apr 2019 Last Revised: 28 Jun 2019
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
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Abstract:

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No-arbitrage, stock returns, conditional asset pricing model, non-linear factor model, machine learning, deep learning, neural networks, big data, hidden states, GMM