Persistence in factor-based supervised learning models
In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We find that predictive algorithms perform best when they are trained on long samples, with long-term returns as dependent variables. In addition, we report th...
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| Format: | Article |
| Language: | English |
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KeAi Communications Co., Ltd.
2022-11-01
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| Series: | Journal of Finance and Data Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918821000143 |