Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks
“The main findings were evaluated from 2 angles: model predictive power and backtesting performance, which were compared for the periods with and without COVID-19.”
AssetEquities
StrategyFactor investing
TechniqueFeedforward networklinear factor model
GeographyUS
Also stated: Annual
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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