Ensemble learning and stock return predictability-厦门大学经济学院统计学与数据科学系

Ensemble learning and stock return predictability

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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简介:

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
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类型:独立讲座
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