Machine Learning in Asset Pricing

(Hardback)

Publishing Details

Classifications

Physical Properties

Description

A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machin

Reviews

"The book shows the advances Machine Learning offers for academic research. The book certainly makes a difference in the exploding literature on Machine Learning and I highly recommend it to all academics in finance."---Thorsten Hens, Journal of Economics

Author Bio

Stefan Nagel is the Fama Family Professor of Finance at the University of Chicago, Booth School of Business. He is the executive editor of the Journal of Finance, a research associate at the National Bureau of Economic Research, and a research fellow at both the Centre for Economic Policy Research in London and the CESIfo in Munich. Twitter @ProfStefanNagel