Aliyu Bagudu

AiFi Technologies LLC

United Arab Emirates

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A Machine Learning Approach to the Fama-French Three- and Five-Factor Models

Number of pages: 28 Posted: 24 Aug 2019
Boubacar Diallo, Aliyu Bagudu and Qi Zhang
Qatar University - College of Business and Economics, AiFi Technologies LLC and People’s Bank of China
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Abstract:

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asset pricing model, factor model, machine learning, support vector regression, Bayesian optimization