Timing the factor zoo via deep learning: Evidence from China-Reference-Cited by-同舟云学术

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Timing the factor zoo via deep learning: Evidence from China

Published:2022-12-10 Issue:1 Volume:63 Page:485-505
ISSN:0810-5391
Container-title:Accounting & Finance
language:en
Short-container-title:Accounting & Finance

Author:

Ma Tian¹²^ORCID,Liao Cunfei³^ORCID,Jiang Fuwei⁴^ORCID

Affiliation:

1. School of Economics Minzu University of China Beijing China

2. China Institute for Vitalizing Border Areas and Enriching the People Beijing China

3. School of Economics and Management Nanjing University of Science and Technology Nanjing China

4. School of Finance Central University of Finance and Economics Beijing China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/acfi.13033

Reference44 articles.

1. Variable Selection for Portfolio Choice

2. Capital Market Efficiency and Arbitrage Efficacy

3. Arnott R.D. Clements M. Kalesnik V.&Linnainmaa J.T.(2021)Factor momentum. Available from:https://doi.org/10.2139/ssrn.3116974

4. Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability

5. Scaling up Market Anomalies

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2. Financial indicators analysis using machine learning: Evidence from Chinese stock market;Finance Research Letters;2023-12

3. Attention is all you need: An interpretable transformer-based asset allocation approach;International Review of Financial Analysis;2023-11

4. Financial Indicators Analysis by Machine Learning: Evidence from Chinese Stock Market;2023

5. Volatility-managed Portfolios in the Chinese Equity Market;SSRN Electronic Journal;2023

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