by emlyon business school | Oct 13, 2020 | Projects Quant
emlyon faculty: Pr. Bertrand Maillet in collaborations with: Zhining Yuan and Pr. Xiang Zhang – School of Finance, Southwestern University of Finance and Economics (SWUFE), Chengdu, China This project explains and explores a technique for the n-asset portfolio...
by emlyon business school | Oct 13, 2020 | Projects Quant
emlyon faculty: Dr. Guillaume Coqueret In this research project, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We come to three empirical conclusions. First, the pure out-of-sample fit of...
by emlyon business school | Oct 13, 2020 | Projects Quant
emlyon faculty: Dr. Guillaume Coqueret in collaborations with: Mr. Romain Deguest (independent) We characterize the quadratic loss that occurs when forecasting an autocorrelated process from its relationship with another autocorrelated process. When the predictions...
by emlyon business school | Oct 13, 2020 | Projects Quant
emlyon faculty: Pr. Bertrand Maillet in collaborations with: Dr. Michele Costola, Economics Department, Ca’ Foscari University of Venice, Italy and Pr. Massimiliano Caporin, Department of Statistical Sciences, University of Padova, Italy. After the major financial...
by emlyon business school | Oct 8, 2020 | Projects Quant
emlyon faculty: Dr. Clément Levallois and Dr. Jean Savinien In collaboration with: Mr. Mohamed Benabdelkrim (PhD student, emlyon & Univ Lyon 1), Pr. Cécile Robardet (Professor, Univ Lyon 1). In this project, we make a methodological contribution to the empirical...
