jxf吉祥网手机在线
院长信箱 书记信箱 English

学术科研

学术活动

当前位置: 首页 -> 学术科研 -> 学术活动 -> 正文

【jxf吉祥网手机在线海外学者前沿短期课程系列】第三讲

作者:来源: 阅读次数:日期:2020-05-19

讲座主题:金融经济学中的机器学习方法

主讲嘉宾:修大成,芝加哥大学布斯商学院教授

讲座时间:2020年6月3日(周三),6月10日(周三),上午8:00-下午13:00(北京时间)

讲座形式:腾讯会议

嘉宾简介:修大成,芝加哥大学布斯商学院计量与统计教授。中国科学技术大学数学,理工学学士,美国普林斯顿大学应用数学硕士、博士。主要研究领域为Financial Econometrics, Empirical Asset Pricing, Machine Learning in Finance, High-Dimensional Statistics, Quantitative Finance等。研究成果发表于Journal of Econometrics,Review of Financial Studies,Journal of Finance,Annals of Statistics,Journal of Business & Economic Statistics等国际知名期刊。

内容摘要:Because machine learning can handle a large number of predictive variables and has a variety of functional forms, the application of machine learning methods in the financial field is always a concerned issue in the cademia and industry.

This paper applies a variety of representative machine learning methods to solve the most studied and classic problem in the field of empirical asset pricing: measuring the risk premium of assets. This paper focuses on comparing the different methods. It is found that using machine learning to predict can bring huge economic benefits to investors, which is better than the long-term regression analysis strategy in the literature. Among them, classification tree and neural network are the two learning methods with the best performance. Compared with other methods, they take into account the nonlinear relationship and interaction between variables and effectively improve the prediction accuracy.

上一条:【jxf吉祥网手机在线短期课程】孟天广
下一条:【jxf吉祥网手机在线“龙马经济学双周学术论坛”】2020年春季学期第一讲:王子

版权所有:jxf吉祥网手机在线 - jxf吉祥网手机手机端 学院南路校区地址:北京市海淀区学院南路39号 邮编:100081 沙河校区地址:北京市昌平区沙河高教园区 邮编:102206