Marc Stam

Tilburg University

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

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Machine Learning and Expected Returns

Number of pages: 59 Posted: 02 Feb 2023
Julio A. Crego, Jens Soerlie Kvaerner and Marc Stam
Tilburg University, Tilburg University and Tilburg University
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Abstract:

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Machine Learning, Big Data, Equity Options, Return Prediction, Cross-Section of Returns, Transaction Costs