Autoencoder asset pricing models

We propose a new latent factor conditional asset pricing model. Like Kelly, Pruitt, and Su (KPS, 2019), our model allows for latent factors and factor exposures that depend on covariates such as asset characteristics. But, unlike the linearity assumption of KPS, we model factor exposures as a flexib...

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Bibliographic Details
Published in:	Journal of econometrics Vol. 222; no. 1; pp. 429 - 450
Main Authors:	Gu, Shihao, Kelly, Bryan, Xiu, Dacheng
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.05.2021 Elsevier Science Publishers Elsevier Sequoia S.A
Subjects:	Analysis Arbitrage Asset management Asset pricing assets Autoencoder Big data Business schools Conditional asset pricing model econometrics Economic factors Errors Machine learning Neural networks Nonlinear factor model Nonlinear systems Prices Pricing Stock returns Nonlinear factor model Autoencoder Neural networks Machine learning Stock returns Big data Conditional asset pricing model
ISSN:	0304-4076, 1872-6895
Online Access:	Get full text
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