Concepedia

Machine Learning Factor Models

Machine Learning Factor Models is a factor model in finance that distinguishes itself by using machine learning algorithms to identify and estimate latent risk factors from large-dimensional datasets, thereby enhancing predictive accuracy and model flexibility compared to traditional statistical or economic theory-driven approaches.

73

Publications

3.1K

Citations

193

Authors

118

Institutions

Publications per year

2017–2026

57

Parents

Publications

73

Autoencoder asset pricing models

Shihao Gu, Bryan Kelly, Dacheng Xiu · Journal of Econometrics · 2020 · 427 citations

, , +16

How is machine learning useful for macroeconomic forecasting?

Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanović et al. · Journal of Applied Econometrics · 2022 · 216 citations · Full text

, , +16

Factor Models, Machine Learning, and Asset Pricing

Stefano Giglio, Bryan Kelly, Dacheng Xiu · Annual Review of Financial Economics · 2022 · 175 citations

, , +17

Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods

Hyun Hak Kim, Norman R. Swanson · International Journal of Forecasting · 2016 · 107 citations

, , +17

Factor-based big data and predictive analytics capability assessment tool for the construction industry

Jasmine Ngo, Bon‐Gang Hwang, Chenyue Zhang · Automation in Construction · 2019 · 96 citations

, , +14

1–5 of 73

Authors

193

  1. DX
    Dacheng Xiu

    University of Chicago, United States

    5 publications · 706 citations

    5

    h-index

  2. GF
    Guanhao Feng

    City University of Hong Kong, Hong Kong SAR China

    4 publications · 175 citations

    4

    h-index

  3. NG
    Nicholas G. Polson

    University of Chicago, United States

    3 publications · 151 citations

    3

    h-index

  4. JF
    Jianqing Fan

    Princeton University, United States

    3 publications · 142 citations

    3

    h-index

  5. SG
    Stefano Giglio

    Yale University, United States

    3 publications · 222 citations

    3

    h-index

1–5 of 193

Institutions

118

  1. University of Chicago

    Chicago, United States

    8 h-index

    15 publications

    1.5K citations

  2. Yale University

    New Haven, United States

    4 h-index

    5 publications

    845 citations

  3. Tsinghua University

    Beijing, China

    3 h-index

    14 publications

    480 citations

  4. Princeton University

    Princeton, United States

    3 h-index

    4 publications

    220 citations

  5. City University of Hong Kong

    Hong Kong, Hong Kong

    3 h-index

    5 publications

    254 citations

  6. Chinese Academy of Sciences

    Beijing, China

    2 h-index

    2 publications

    55 citations

  7. The University of Tokyo

    Tokyo, Japan

    2 h-index

    6 publications

    150 citations

  8. Columbia University

    New York, United States

    2 h-index

    2 publications

    64 citations

1–8 of 118

Venues

  1. SSRN Electronic Journal

    Repository · 8 publications · 205 citations

    8

    h-index

  2. arXiv (Cornell University)

    Repository · 4 publications · 114 citations

    4

    h-index

  3. International Journal of Forecasting

    3 publications · 163 citations

    3

    h-index

  4. Annals of Operations Research

    2 publications · 76 citations

    2

    h-index

  5. Journal of Econometrics

    2 publications · 505 citations

    2

    h-index

1–5