I'm on record as being largely unimpressed by the contributions of neural nets (NN's) in economics thus far. In many economic environments the relevant non-linearities seem too weak and the signal/noise ratios too low for NN's to contribute much.
The Gu-Kelly-Xiu paper that I mentioned earlier may change that. I mentioned their success in applying machine-learning methods to forecast equity risk premia out of sample. NN's, in particular, really shine. The paper is thoroughly and meticulously done.
This is potentially a really big deal.
The Gu-Kelly-Xiu paper that I mentioned earlier may change that. I mentioned their success in applying machine-learning methods to forecast equity risk premia out of sample. NN's, in particular, really shine. The paper is thoroughly and meticulously done.
This is potentially a really big deal.
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Tuesday, July 24, 2018
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Finance,
Financial Econometrics,
Machine learning,
Nonlinearity,
Nonparametrics
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