تقرير
The Adaptive Multi-Factor Model and the Financial Market
| العنوان: | The Adaptive Multi-Factor Model and the Financial Market |
|---|---|
| المؤلفون: | Zhu, Liao |
| المصدر: | eCommons 2020 |
| سنة النشر: | 2021 |
| المجموعة: | Computer Science Quantitative Finance Statistics |
| مصطلحات موضوعية: | Quantitative Finance - Statistical Finance, Computer Science - Machine Learning, Statistics - Machine Learning |
| الوصف: | Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading, results in a boom of the data which provides more opportunities to reveal deeper insights. However, traditional statistical methods always suffer from the high-dimensional, high-correlation, and time-varying instinct of the financial data. In this dissertation, we focus on developing techniques to stress these difficulties. With the proposed methodologies, we can have more interpretable models, clearer explanations, and better predictions. Comment: PhD thesis |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2107.14410 |
| رقم الأكسشن: | edsarx.2107.14410 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |