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A machine learning based asset pricing factor model comparison on anomaly portfolios
Ming Fang
, Stephen Taylor
MT School of Management
Research output
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Contribution to journal
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Article
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peer-review
2
Scopus citations
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Dive into the research topics of 'A machine learning based asset pricing factor model comparison on anomaly portfolios'. Together they form a unique fingerprint.
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Business & Economics
Machine Learning
100%
Model Comparison
96%
Asset Pricing
80%
Anomaly
75%
Support Vector Machine
64%
Learning Context
56%
Portfolio Model
46%
Neural Networks
45%
Performance Metrics
43%
Predictors
40%
Excess Returns
40%
Linear Regression
39%
Ordinary Least Squares
36%
Regression Model
31%
Alternatives
17%
Performance
14%