research
∙
07/30/2021
The Adaptive Multi-Factor Model and the Financial Market
Modern evolvements of the technologies have been leading to a profound i...
share
research
∙
07/05/2021
Clustering Structure of Microstructure Measures
This paper builds the clustering model of measures of market microstruct...
research
∙
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...
research
∙
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...
research
∙
03/16/2020
Low-volatility Anomaly and the Adaptive Multi-Factor Model
The paper explains the low-volatility anomaly from a new perspective. We...
research
∙
04/23/2018