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07/30/2021
The Adaptive Multi-Factor Model and the Financial Market
Modern evolvements of the technologies have been leading to a profound i...
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07/05/2021
Clustering Structure of Microstructure Measures
This paper builds the clustering model of measures of market microstruct...
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06/13/2021
A News-based Machine Learning Model for Adaptive Asset Pricing
The paper proposes a new asset pricing model – the News Embedding UMAP S...
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11/09/2020
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
The purpose of this paper is to test the multi-factor beta model implied...
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03/16/2020
Low-volatility Anomaly and the Adaptive Multi-Factor Model
The paper explains the low-volatility anomaly from a new perspective. We...
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04/23/2018
