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Machine Learning for Asset Pricing

Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research

Authors

External Research Organisations

  • University of Tübingen

Details

Original languageEnglish
Title of host publicationEconometrics with Machine Learning
EditorsFelix Chan, László Mátyás
PublisherSpringer International Publishing AG
Pages337–366
Number of pages29
Volume53
ISBN (electronic)978-3-031-15149-1
ISBN (print)978-3-031-15148-4
Publication statusPublished - 7 Sept 2022
Externally publishedYes

Abstract

This chapter reviews the growing literature that describes machine learning applications in the field of asset pricing. In doing so, it focuses on the additional benefits that machine learning – in addition to, or in combination with, standard econometric approaches – can bring to the table. This issue is of particular importance because in recent years, improved data availability and increased computational facilities have had huge effects on finance literature. For example, machine learning techniques inform analyses of conditional factor models; they have been applied to identify the stochastic discount factor and purposefully to test and evaluate existing asset pricing models. Beyond those pertinent applications, machine learning techniques also lend themselves to prediction problems in the domain of empirical asset pricing.

Cite this

Machine Learning for Asset Pricing. / Sönksen, Jantje.
Econometrics with Machine Learning. ed. / Felix Chan; László Mátyás. Vol. 53 Springer International Publishing AG, 2022. p. 337–366.

Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research

Sönksen, J 2022, Machine Learning for Asset Pricing. in F Chan & L Mátyás (eds), Econometrics with Machine Learning. vol. 53, Springer International Publishing AG, pp. 337–366. https://doi.org/10.1007/978-3-031-15149-1
Sönksen, J. (2022). Machine Learning for Asset Pricing. In F. Chan, & L. Mátyás (Eds.), Econometrics with Machine Learning (Vol. 53, pp. 337–366). Springer International Publishing AG. https://doi.org/10.1007/978-3-031-15149-1
Sönksen J. Machine Learning for Asset Pricing. In Chan F, Mátyás L, editors, Econometrics with Machine Learning. Vol. 53. Springer International Publishing AG. 2022. p. 337–366 doi: 10.1007/978-3-031-15149-1
Sönksen, Jantje. / Machine Learning for Asset Pricing. Econometrics with Machine Learning. editor / Felix Chan ; László Mátyás. Vol. 53 Springer International Publishing AG, 2022. pp. 337–366
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