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Deep Learning in Asset Pricing Models by Pedro Kraus is a document available to read on EtoBox.

What is Deep Learning in Asset Pricing Models about?

This document presents a novel pseudo-Siamese Network for Asset Pricing (SNAP) model that utilizes deep learning techniques for conditional asset pricing, demonstrating improved out-of-sample prediction and Sharpe ratios using U.S. stock returns from 1970-2019. The model effectively estimates deep alpha, beta, and factor risk premia while addressing limitations of traditional asset pricing models by incorporating long short-term memory networks to capture long-term dependencies. Additionally, the study cons

Author

Pedro Kraus

Language

EN