scholarly journals Empirical Asset Pricing via Machine Learning

2020 ◽  
Vol 33 (5) ◽  
pp. 2223-2273 ◽  
Author(s):  
Shihao Gu ◽  
Bryan Kelly ◽  
Dacheng Xiu
Keyword(s):  
Machine Learning ◽  
Neural Networks ◽  
Comparative Analysis ◽  
Asset Pricing ◽  
Empirical Asset Pricing ◽  
Risk Premiums ◽  
Asset Risk ◽  
Oxford University ◽  
Machine Learning Methods ◽  
Published Paper

Abstract We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premiums. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based strategies from the literature. We identify the best-performing methods (trees and neural networks) and trace their predictive gains to allowing nonlinear predictor interactions missed by other methods. All methods agree on the same set of dominant predictive signals, a set that includes variations on momentum, liquidity, and volatility. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Prediction of sports attendance: A comparative analysis

2020 ◽  
pp. 175433712098313
Author(s):  
Mehmet Şahin ◽  
Murat Uçar
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Comparative Analysis ◽  
National Football League ◽  
Relevant Literature ◽  
Performance Evaluations ◽  
Influential Factor ◽  
Gradient Boosting ◽  
Home Team ◽  
Machine Learning Methods

In this study, a comparative analysis for predicting sports attendance demand is presented based on econometric, artificial intelligence, and machine learning methodologies. Data from more than 20,000 games from three major leagues, namely the National Basketball Association (NBA), National Football League (NFL), and Major League Baseball (MLB), were used for training and testing the approaches. The relevant literature was examined to determine the most useful variables as potential regressors in forecasting. To reveal the most effective approach, three scenarios containing seven cases were constructed. In the first scenario, each league was evaluated separately. In the second scenario, the three possible combinations of league pairings were evaluated, while in the third scenario, all three leagues were evaluated together. The performance evaluations of the results suggest that one of the machine learning methods, Gradient Boosting, outperformed the other methods used. However, the Artificial Neural Network, deep Convolutional Neural Network, and Decision Trees also provided productive and competitive predictions for sports games. Based on the results, the predictions for the NBA and NFL leagues are more satisfactory than the predictions of the MLB, which may be caused by the structure of the MLB. The results of the sensitivity analysis indicate that the performance of the home team is the most influential factor for all three leagues.

scholarly journals Machine-learning in astronomy

2014 ◽  
Vol 10 (S306) ◽  
pp. 279-287 ◽  
Author(s):  
Michael Hobson ◽  
Philip Graff ◽  
Farhan Feroz ◽  
Anthony Lasenby
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Neural Networks ◽  
Gamma Ray ◽  
Neural Network Training ◽  
Training Algorithm ◽  
Data Description ◽  
Astronomical Data ◽  
Machine Learning Methods ◽  
Network Training

AbstractMachine-learning methods may be used to perform many tasks required in the analysis of astronomical data, including: data description and interpretation, pattern recognition, prediction, classification, compression, inference and many more. An intuitive and well-established approach to machine learning is the use of artificial neural networks (NNs), which consist of a group of interconnected nodes, each of which processes information that it receives and then passes this product on to other nodes via weighted connections. In particular, I discuss the first public release of the generic neural network training algorithm, calledSkyNet, and demonstrate its application to astronomical problems focusing on its use in the BAMBI package for accelerated Bayesian inference in cosmology, and the identification of gamma-ray bursters. TheSkyNetand BAMBI packages, which are fully parallelised using MPI, are available athttp://www.mrao.cam.ac.uk/software/.

scholarly journals Acoustic feature-based sentiment analysis of call center data

2017 ◽  
Author(s):  
◽  
Zeshan Peng
Keyword(s):  
Machine Learning ◽  
Neural Networks ◽  
Emotion Recognition ◽  
Sentiment Analysis ◽  
Call Center ◽  
Machine Learning Algorithms ◽  
Language Recognition ◽  
Acoustic Features ◽  
Learning Methods ◽  
Machine Learning Methods

With the advancement of machine learning methods, audio sentiment analysis has become an active research area in recent years. For example, business organizations are interested in persuasion tactics from vocal cues and acoustic measures in speech. A typical approach is to find a set of acoustic features from audio data that can indicate or predict a customer's attitude, opinion, or emotion state. For audio signals, acoustic features have been widely used in many machine learning applications, such as music classification, language recognition, emotion recognition, and so on. For emotion recognition, previous work shows that pitch and speech rate features are important features. This thesis work focuses on determining sentiment from call center audio records, each containing a conversation between a sales representative and a customer. The sentiment of an audio record is considered positive if the conversation ended with an appointment being made, and is negative otherwise. In this project, a data processing and machine learning pipeline for this problem has been developed. It consists of three major steps: 1) an audio record is split into segments by speaker turns; 2) acoustic features are extracted from each segment; and 3) classification models are trained on the acoustic features to predict sentiment. Different set of features have been used and different machine learning methods, including classical machine learning algorithms and deep neural networks, have been implemented in the pipeline. In our deep neural network method, the feature vectors of audio segments are stacked in temporal order into a feature matrix, which is fed into deep convolution neural networks as input. Experimental results based on real data shows that acoustic features, such as Mel frequency cepstral coefficients, timbre and Chroma features, are good indicators for sentiment. Temporal information in an audio record can be captured by deep convolutional neural networks for improved prediction accuracy.

scholarly journals Machine Learning Methods Applied for Modeling the Process of Obtaining Bricks Using Silicon-Based Materials

Materials ◽  
2021 ◽  
Vol 14 (23) ◽  
pp. 7232
Author(s):  
Costel Anton ◽  
Silvia Curteanu ◽  
Cătălin Lisa ◽  
Florin Leon
Keyword(s):  
Machine Learning ◽  
Neural Networks ◽  
Raw Materials ◽  
Optimization Procedure ◽  
Exhaust Emission ◽  
Energy Potential ◽  
Learning Methods ◽  
Machine Learning Methods ◽  
Emission Changes ◽  
The Impact

Most of the time, industrial brick manufacture facilities are designed and commissioned for a particular type of manufacture mix and a particular type of burning process. Productivity and product quality maintenance and improvement is a challenge for process engineers. Our paper aims at using machine learning methods to evaluate the impact of adding new auxiliary materials on the amount of exhaust emissions. Experimental determinations made in similar conditions enabled us to build a database containing information about 121 brick batches. Various models (artificial neural networks and regression algorithms) were designed to make predictions about exhaust emission changes when auxiliary materials are introduced into the manufacture mix. The best models were feed-forward neural networks with two hidden layers, having MSE < 0.01 and r2 > 0.82 and, as regression model, kNN with error < 0.6. Also, an optimization procedure, including the best models, was developed in order to determine the optimal values for the parameters that assure the minimum quantities for the gas emission. The Pareto front obtained in the multi-objective optimization conducted with grid search method allows the user the chose the most convenient values for the dry product mass, clay, ash and organic raw materials which minimize gas emissions with energy potential.

Using Machine Learning Methods to Solve Problems of Forecasting Demand for New Products in the Internet Marketplace

2020 ◽  
Vol 10 (4) ◽  
pp. 41-50
Author(s):  
A.A. Osin ◽  
A.K. Fomin ◽  
G.B. Sologub ◽  
V.I. Vinogradov
Keyword(s):  
Machine Learning ◽  
Comparative Analysis ◽  
New Products ◽  
The Internet ◽  
Specific Task ◽  
Learning Methods ◽  
Online Store ◽  
Machine Learning Methods ◽  
And Storage ◽  
Internet Marketplace

The work is aimed at researching the possibility of using machine learning methods to build models for forecasting demand for new products in the online store Ozon. ru. Approaches to the solution that were not previously used in a specific task are proposed for consideration. Data on sales history and storage of goods at Ozon.ru are used as a sample. There is a description and analysis of the approximate loss of the Ozon.ru website, the data used, the process of building a base model, and the results obtained. It describes the metrics used to evaluate the prediction results and makes a comparative analysis between the prediction results of the built model and the results of heuristically selected values.

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