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Automated Machine Learning and Asset Pricing (2024)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2024). Automated Machine Learning and Asset Pricing. Risks, 12(9), Article 148. https://doi.org/10.3390/risks12090148

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications... Read More about Automated Machine Learning and Asset Pricing.

Test of recent advances in extracting information from option prices (2017)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2018). Test of recent advances in extracting information from option prices. International review of financial analysis, 56, 292-302. https://doi.org/10.1016/j.irfa.2017.09.011

© 2017 Elsevier Inc. A large literature exists on techniques for extracting probability distributions for future asset prices from option prices. No definitive method has been developed however. The parametric 'mixture of normals', and non-parametric... Read More about Test of recent advances in extracting information from option prices.