讲座时间:10月11日上午10:30
讲座地点:九里校区零号楼0411室
讲座题目:股票收益的机器学习实时预测:来自基本面信号的证据(Real-time Machine Learning for the Cross-Section of Stock Returns: Evidence From Fundamental Signals)
摘要:Recent studies document strong performance of machine learning based investment strategies. These strategies use anomaly variables discovered ex-post as predictors of stock returns and cannot be implemented in real time. We construct machine learning strategies from a “universe” of fundamental signals identified ex-ante and find that their out-of-sample performance is considerably weaker than those documented by previous studies. In addition, we find significant degradation from in-sample performance to out-of-sample performance, supporting the predictions of Martin and Nagel (2020). Overall, our results offer a more tempered view of the practical value of machine learning strategies relative to prior literature.
主讲人简介:李斌,现为武汉大学经济与管理学院金融系教授、博士生导师。担任金融系副主任和金融科技研究中心主任、人文社科青年学术团队负责人;武汉大学教育发展基金会投委会委员和特许金融分析师(CFA)持证人。研究方向为金融科技、投资管理和机器学习等。他具备金融+科技的跨学科背景与研究能力,在《Journal of Accounting Research》、《Artificial Intelligence》、《Journal of Machine Learning Research》、《管理科学学报》、《中国工业经济》、ICML、IJCAI等金融会计和人工智能类期刊会议上发表论文。主持国家自然科学基金等项目,已结题自科基金青年项目后评估为特优。研究获得哥伦比亚大学法学院公司与资本市场网、海通证券等转载应用,获评人大复印报刊资料经济学类最受欢迎文章、上海期货交易所优秀合作课题三等奖等。
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主办:欧洲杯正规下单平台
承办:金融市场与公司金融科研团队