Ensemble learning and stock return predictability

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主讲人	姜富伟	简介	<p>Many, even sophisticated, models cannot beat a simple mean combination of univariate stock market return forecasts. We introduce an ensemble learning method, which averages forecasts from sophisticated models (like BMA, WALS and Lasso) based on random subsamples and adaptively changes sampling distributions. Empirically, our novel method seems to improve the simple mean forecast with statistica.</p>
时间	2018-11-16(Friday)16:40-18:00	地点	N302, Econ Building
讲座语言	中文	主办单位
承办单位		类型	独立讲座
联系人信息		主持人
专题网站		专题
主讲人简介	<p>中央财经大学金融学院副教授</p>	期数

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