User: Guest  Login
More Searchfields
Simple search
Document type:
Masterarbeit
Author(s):
Yao, Limei
Title:
Market anomalies using machine learning techniques
Abstract:
In this thesis, I have studied 298 capital market anomalies in time range from 1979 to 2019 by using four different machine learning models, namely linear regression model, logistic regression model, principle component regression and XGBoost model. Within each model, I have applied three different ways of presenting the training labels (the return) and two different ways of defining training set. Results indicate that models with standardized training labels are able to achieve better portfolio...     »
Supervisor:
Prof. Dr. Rudi Zagst, Prof. Dr. Christoph Kaserer
Advisor:
Dr. Vitor G. Azevedo
Year:
2020
Language:
en
University:
Technische Universität München
TUM Institution:
Lehrstuhl für Finanzmathematik
Commencing Date:
15.10.2020
 BibTeX