Machine Learning Econometrics in Asset Pricing
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Technology and Innovation".
Deadline for manuscript submissions: closed (31 December 2022) | Viewed by 3033
Special Issue Editor
Interests: econometrics; financial econometrics; risk management; financial analysis; international trade & development; agricultural marketing; prices
Special Issue Information
Dear Colleagues,
The prediction of stock returns has been a complex problem of frequent research interest in quantitative finance. Complexity is enhanced by the vast number of determinants (predictors) of stock returns and the strength of noise-to-signal ratio of predictors across firms. Financial models of stock returns use a small number of predictors, leaving out vast amounts of financial information that contributes to explaining variations in stock returns. The explosive growth in financial data has allowed analysts, investors, and researchers to use methods such as machine learning (ML) to capture features in high-dimensional data. Capital asset pricing models (CAPM) and machine learning cointegrate well, with CAPM providing a theory-consistent structure to predict asset returns while machine learning captures data features that improve model specification and predictability.
Prof. Dr. Hector O. Zapata
Guest Editor
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
Keywords
- econometrics
- machine learning
- asset pricing
- computational methods
- financial shocks
- time series
Benefits of Publishing in a Special Issue
- Ease of navigation: Grouping papers by topic helps scholars navigate broad scope journals more efficiently.
- Greater discoverability: Special Issues support the reach and impact of scientific research. Articles in Special Issues are more discoverable and cited more frequently.
- Expansion of research network: Special Issues facilitate connections among authors, fostering scientific collaborations.
- External promotion: Articles in Special Issues are often promoted through the journal's social media, increasing their visibility.
- e-Book format: Special Issues with more than 10 articles can be published as dedicated e-books, ensuring wide and rapid dissemination.
Further information on MDPI's Special Issue polices can be found here.