A machine learning based asset pricing factor model comparison on anomaly portfolios

Keyphrases

• Asset Pricing 100%
• Asset Pricing Factors 100%
• Excess Returns 100%
• Factor Model 100%
• Learning Context 100%
• Least Squares Linear Regression 100%
• Linear Factor Models 100%
• Linear Support Vector Machine 100%
• Machine Learning 100%
• Machine Learning Based 100%
• Model Comparison 100%
• Neural Network Model 100%
• Neural Tree 100%
• Ordinary Least Squares 100%
• Performance Metrics 100%
• Performance Prediction 100%
• Regression Model 100%
• Return Prediction 100%
• Strong Predictor 100%
• Tree Model 100%

Computer Science

• Alternative Technique 50%
• Least Squares Method 50%
• Machine Learning 100%
• Neural Network 50%
• Performance Metric 50%
• Predictive Performance 50%
• Support Vector Machine 50%