Fama-French Five-Factor Model vs. Machine Learning
The paper develops a seven-factor model for the A-share market, compares five machine learning algorithms, and discovers that SVM and random forests enhance fitting power, while the performance of lasso, ridge, and neural networks varies.
Featured in No. 7 on 12 Jul 2023 · on release day
- Released
- 12 Jul 2023
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 20
- Identifier
- RePEc:gam:jmathe:v:11:y:2023:i:13:p:2988-:d:1186815
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).