Beijing Institute of Mathematical Sciences and Applications

Li Yan Han , Zhen Li , Qing Fu Liu , Fei Long , Ke Tang

Qiqi Gu

Monday, November 18, 2024 3:20 PM - 4:20 PM

A3-2-303

Zoom 230 432 7880 (BIMSA)

This talk will present a paper on deep learning for asset pricing, titled "Deep Learning in Asset Pricing" which was published in Management Science on February 20, 2023.This thesis uses deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key innovations are to use the fundamental no-arbitrage condition as criterion function, to construct the most informative test assets with an adversarial approach and to extract the states of the economy from many macroeconomic time series. The asset pricing model outperforms out-of-sample all benchmark approaches in terms of Sharpe ratio, explained variation and pricing errors and identifies the key factors that drive asset prices.

Qiqi Gu is a PhD student at BIMSA and UCAS. Her research interests include digital economy, asset pricing and financial mathematics.