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Ensemble learning and stock return predictability

作者: 发布时间:2018-11-16 点击数:
主讲人:姜富伟
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中央财经大学金融学院副教授

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Many, even sophisticated, models cannot beat a simple mean combination of univariate stock market return forecasts. We introduce an ensemble learning method, which averages forecasts from sophisticated models (like BMA, WALS and Lasso) based on random subsamples and adaptively changes sampling distributions. Empirically, our novel method seems to improve the simple mean forecast with statistica.

时间:2018-11-16(Friday)16:40-18:00
地点:N302, Econ Building
讲座语言:中文
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