1.
Factor Models, Machine Learning, and Asset Pricing
Number of pages: 35
Posted: 18 Oct 2021
Last Revised: 18 Feb 2022
Working Paper Series
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Factor Models, Machine Learning, and Asset Pricing
Annual Review of Financial Economics, Vol. 14, pp. 337-368, 2022
Posted: 10 Nov 2022
Factor Models, Machine Learning, and Asset Pricing
Number of pages: 35
Posted: 18 Oct 2021
Last Revised: 18 Feb 2022
Downloads
9,291
Downloads
9,291
2.
Deep Learning in Asset Pricing
Number of pages: 75
Posted: 04 Apr 2019
Last Revised: 05 Aug 2021
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
8,904
3.
A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm
Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34
Posted: 22 Sep 2011
Last Revised: 27 Oct 2013
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Irvine
Downloads
5,309
4.
Focused Concept Miner (FCM): Interpretable Deep Learning for Text Exploration
Number of pages: 52
Posted: 21 Dec 2018
Last Revised: 29 Jun 2022
Working Paper Series
Boston University - Questrom School of Business, Cornell University, Ithaca, New York and Boston University - Questrom School of Business
Downloads
4,835
5.
Deep Learning Statistical Arbitrage
Number of pages: 72
Posted: 08 Jun 2021
Last Revised: 27 Aug 2023
Working Paper Series
BlackRock, Inc, Stanford University - Department of Management Science & Engineering and Stanford University, School of Engineering, Management Science & Engineering
Downloads
4,794
6.
Bond Risk Premia with Machine Learning
WBS Finance Group Research Paper No. 252
Number of pages: 86
Posted: 26 Aug 2018
Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads
4,777
7.
The Four Horsemen of Machine Learning in Finance
Number of pages: 24
Posted: 24 Sep 2019
Working Paper Series
Illinois Institute of Technology and Fidelity Investments, Inc.
Downloads
4,263
8.
Missing Financial Data
Number of pages: 129
Posted: 13 May 2022
Last Revised: 27 Nov 2023
Working Paper Series
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads
3,221
9.
Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text
Johns Hopkins Carey Business School Research Paper No. 21-09
Number of pages: 60
Posted: 02 Aug 2021
Last Revised: 09 Feb 2023
Working Paper Series
Yale School of Management, Yale SOM and Johns Hopkins University - Carey Business School
Downloads
3,039
10.
LexNLP: Natural Language Processing and Information Extraction For Legal and Regulatory Texts
Number of pages: 7
Posted: 21 Jun 2018
Working Paper Series
273 Ventures, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
2,228
11.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
2,171
12.
Stripping the Discount Curve - a Robust Machine Learning Approach
Swiss Finance Institute Research Paper No. 22-24
Number of pages: 87
Posted: 15 Mar 2022
Last Revised: 14 Mar 2023
Working Paper Series
École Polytechnique Fédérale de Lausanne, Stanford University - Department of Management Science & Engineering and Stanford University
Downloads
2,152
13.
Limited Partners versus Unlimited Machines; Artificial Intelligence and the Performance of Private Equity Funds
Number of pages: 60
Posted: 26 Jun 2023
Last Revised: 06 Sep 2023
Working Paper Series
Université Côte d'Azur - SKEMA Business School, Technische Universität München (TUM) - TUM School of Management, SKEMA Business School, University of Oxford - Said Business School and Unigestion SA
Downloads
2,007
14.
Predicting Profitability Using Machine Learning
Number of pages: 64
Posted: 14 Oct 2019
Last Revised: 29 Oct 2019
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Accountancy, University of Illinois at Urbana-Champaign - Department of Accountancy, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Accountancy
Downloads
1,920
15.
A Surprising Thing: The Application of Machine Learning Ensembles and Signal Theory to Predict Earnings Surprises
Number of pages: 103
Posted: 17 Jul 2019
Last Revised: 25 Mar 2020
Working Paper Series
The Alan Turing Institute
Downloads
1,765
16.
Lee and Carter go Machine Learning: Recurrent Neural Networks
Number of pages: 30
Posted: 23 Aug 2019
Last Revised: 29 Aug 2019
Working Paper Series
Old Mutual Insure and RiskLab, ETH Zurich
Downloads
1,747
17.
Portfolio Oversight: An Evolutionary Approach
Number of pages: 50
Posted: 08 Nov 2012
Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
1,586
18.
Short Term Trading Models Using Hurst Exponent and Machine Learning
Number of pages: 16
Posted: 12 Apr 2021
Working Paper Series
WorldQuant LLC - WorldQuant University, WorldQuant LLC - WorldQuant University, WorldQuant LLC - WorldQuant University and WorldQuant University
Downloads
1,399
19.
Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
Number of pages: 41
Posted: 27 Aug 2023
Last Revised: 30 Aug 2023
Working Paper Series
Imperial College London - Department of Mathematics, Mathematical Institute, University of Oxford and Oxford Man Institute and University of Kaiserslautern - Department of Mathematics
Downloads
1,382
20.
Understanding Systematic Risk: A High-Frequency Approach
Journal of Finance, Forthcoming
Number of pages: 55
Posted: 24 Aug 2015
Last Revised: 23 Mar 2020
Accepted Paper Series
Stanford University - Department of Management Science & Engineering
Downloads
1,301
21.
Artificial Intelligence in Financial Decision Making
Handbook of Financial Decision Making, Forthcoming , HKUST Business School Research Paper No. 2022-082
Number of pages: 32
Posted: 04 Oct 2022
Last Revised: 13 Dec 2022
Accepted Paper Series
Hong Kong University of Science and Technology - Department of Accounting and Hong Kong University of Science & Technology (HKUST) - Department of Accounting
Downloads
1,253
22.
A Practical Introduction to Generative AI, Synthetic Media, and the Messages Found in the Latest Medium
Number of pages: 72
Posted: 20 Mar 2023
Working Paper Series
Shepard Broad College of Law
Downloads
1,239
23.
Sparse Macro Factors
Number of pages: 53
Posted: 25 Oct 2018
Last Revised: 01 Feb 2021
Working Paper Series
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads
1,182
24.
Machine Learning and Factor-Based Portfolio Optimization
Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-6
Number of pages: 89
Posted: 20 Jul 2021
Last Revised: 22 Jul 2021
Working Paper Series
University College Dublin, University College Dublin and University College Dublin
Downloads
1,141
25.
Option Volume Imbalance as a Predictor for Equity Returns
Number of pages: 43
Posted: 13 Apr 2022
Working Paper Series
University of Oxford - Department of Statistics, University of Oxford - Department of Statistics and University of Oxford
Downloads
1,116
26.
Macro Trends and Factor Timing
Number of pages: 54
Posted: 11 Oct 2021
Working Paper Series
Bocconi University - Department of Economics, Ohio State University (OSU) - Fisher College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads
1,089
27.
Shrinking the Term Structure
Swiss Finance Institute Research Paper No. 61, 2022
Number of pages: 70
Posted: 08 Aug 2022
Last Revised: 12 May 2023
Working Paper Series
École Polytechnique Fédérale de Lausanne, Stanford University - Department of Management Science & Engineering and Stanford University
Downloads
1,084
28.
Estimating Latent Asset-Pricing Factors
Number of pages: 45
Posted: 21 May 2018
Last Revised: 13 Jan 2020
Working Paper Series
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
There are 3 versions of this paper
Estimating Latent Asset-Pricing Factors
Number of pages: 45
Posted: 21 May 2018
Last Revised: 13 Jan 2020
Downloads
1,067
Estimating Latent Asset-Pricing Factors
NBER Working Paper No. w24618
Number of pages: 44
Posted: 25 May 2018
Last Revised: 08 Apr 2023
Downloads
67
Estimating Latent Asset-Pricing Factors
CEPR Discussion Paper No. DP12926
Number of pages: 46
Posted: 15 May 2018
Last Revised: 11 Jun 2018
Downloads
1
Downloads
1,067
29.
A High Frequency Trade Execution Model for Supervised Learning
Forthcoming in High Frequency
Number of pages: 27
Posted: 15 Nov 2016
Last Revised: 06 Dec 2017
Accepted Paper Series
Illinois Institute of Technology
Downloads
1,058
30.
Machine Learning in Energy Economics and Finance: A Review
Energy Economics, Vol. 81, 2019
Number of pages: 71
Posted: 15 Nov 2018
Last Revised: 08 Jun 2019
Accepted Paper Series
California State Polytechnic University, San Luis Obispo, Stevens Institute of Technology, School of Business and University of Massachusetts Amherst
Downloads
1,050
31.
The Behavioral Aspect of Mergers and Acquisitions: A Case Study from India
Global Journal of Business Research, Vol. 6, No. 3, pp. 103-113, 2012
Number of pages: 11
Posted: 05 Jan 2012
Accepted Paper Series
Meghnad Saha Institute of Technology, Vishweshwarayya National Institute of Technology, affiliation not provided to SSRN and Meghnad Saha Institute of Technology
Downloads
1,041
32.
La Ventaja Competitiva, Desde La Teoría De Recursos Y Capacidades (Competitive Advantage from Resource Theory and Capabilities)
Revista Internacional Administración & Finanzas, v. 9 (1) p. 69-80, 2016
Number of pages: 12
Posted: 29 Jan 2016
Accepted Paper Series
Universidad Autónoma de Baja California (UABC), Universidad Autónoma de Baja California (UABC) and Universidad Autonoma de Ciudad Juarez
Downloads
1,036
33.
Stock Return Prediction and Anomaly Detection by Regression Trees
Number of pages: 79
Posted: 14 Sep 2011
Working Paper Series
Avondale Alternative Advisors
Downloads
1,015
34.
The Fairness of Credit Scoring Models
HEC Paris Research Paper No. FIN-2021-1411
Number of pages: 46
Posted: 18 Feb 2021
Last Revised: 23 May 2022
Working Paper Series
University of Orleans, HEC Paris - Finance Department and University of Orleans, Laboratoire d'économie d'Orléans, Students
Downloads
979
35.
Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
Number of pages: 49
Posted: 28 Oct 2019
Last Revised: 11 Jun 2023
Working Paper Series
Emory University and Stanford University - Department of Management Science & Engineering
Downloads
978
36.
Internet Appendix for Deep Learning in Asset Pricing
Number of pages: 51
Posted: 11 Jun 2020
Last Revised: 11 Sep 2020
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
960
37.
Anomaly or Possible Risk Factor? Simple-To-Use Tests
Chicago Booth Research Paper No. 22-11, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-43
Number of pages: 91
Posted: 23 Mar 2022
Last Revised: 29 Jun 2023
Working Paper Series
University of Luxembourg, EDHEC Business School and University of Chicago - Finance
There are 2 versions of this paper
Anomaly or Possible Risk Factor? Simple-To-Use Tests
Chicago Booth Research Paper No. 22-11, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-43
Number of pages: 91
Posted: 23 Mar 2022
Last Revised: 29 Jun 2023
Downloads
941
Anomaly or Possible Risk Factor? Simple-To-Use Tests
Number of pages: 86
Posted: 15 Apr 2022
Last Revised: 12 May 2023
Downloads
148
Downloads
941
38.
Unsupervised Learning: What is a Sports Car?
Number of pages: 54
Posted: 22 Aug 2019
Last Revised: 14 Oct 2019
Working Paper Series
AXA Switzerland and RiskLab, ETH Zurich
Downloads
937
39.
Corporate ESG News and The Stock Market
Number of pages: 46
Posted: 29 Dec 2020
Working Paper Series
Ecole Centrale MarseilleUniversité de Paris, Amundi Technology, Amundi Institute, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads
928
40.
Factor Structure of Music Preference Scale and Its Relation to Personality
Journal of Indian Academy of Applied Psychology, Vol. 43(1), p. 104-113, Forthcoming
Number of pages: 15
Posted: 10 Aug 2017
Accepted Paper Series
Amity University Uttar Pradesh, Amity University Uttar Pradesh and Amity University - Amity Institute of Behavioural and Allied Sciences, Students
Downloads
926
41.
Fighting Accounting Fraud Through Forensic Data Analytics
Number of pages: 39
Posted: 22 May 2018
Working Paper Series
Università Cattolica del Sacro Cuore and Transcrime and University of Sydney
Downloads
922
42.
Detecting Toxic Flow
Number of pages: 26
Posted: 07 Nov 2023
Working Paper Series
University of Oxford, Queen Mary University of London and Mathematical Institute, University of Oxford
Downloads
887
43.
The Global Entrepreneurship and Development Index Methodology
Number of pages: 30
Posted: 05 Jun 2011
Last Revised: 14 Jun 2011
Working Paper Series
University of Pécs and Schar School of Policy and Government
Downloads
855
44.
Forecasting Bond Risk Premia using Stationary Yield Factors
Number of pages: 38
Posted: 13 Apr 2021
Working Paper Series
Robeco Quantitative Investments, Robeco Asset Management and Erasmus University Rotterdam
Downloads
836
45.
Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations
Number of pages: 56
Posted: 25 Jun 2023
Working Paper Series
University of Orleans and HEC Paris - Finance Department
Downloads
835
46.
Investigating Accounting Patterns for Bankruptcy and Filing Outcome Prediction using Machine Learning Models
Number of pages: 115
Posted: 18 Jul 2019
Last Revised: 25 Mar 2020
Working Paper Series
The Alan Turing Institute
Downloads
832
47.
The Correlation Structure of Anomaly Strategies
Number of pages: 97
Posted: 19 Jul 2017
Last Revised: 04 Aug 2020
Working Paper Series
University of Auckland Business School and University of Auckland Business School
Downloads
831
48.
Smart Contracts on the Blockchain – A Bibliometric Analysis and Review
Number of pages: 48
Posted: 08 May 2020
Last Revised: 15 Sep 2020
Working Paper Series
Blockchain Research Lab
Downloads
827
49.
Patent Citations and Stock Performance: Constructing a Dynamic Industry Classification
Number of pages: 46
Posted: 17 Sep 2014
Last Revised: 11 Sep 2015
Working Paper Series
The University of Chicago and Federal Reserve Bank of Chicago
Downloads
802
50.
Consumers’ Attitudes Toward Medical Tourism
Number of pages: 44
Posted: 12 May 2011
Working Paper Series
University of North Carolina at PembrokeMedical Tourism Research Center and University of North Carolina (UNC) at Pembroke - Medical Tourism Research Center
Downloads
798
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