上海治理论坛第518期
标题：Source of Predictability in Financial Machine Learning（金融机械进建中可预测性的起源）
演讲人：马甜副教授，中央民族大学经济学院
主持人：翟庆庆副教授，亿万先生MR治理学院
功夫：2024年5月9日（周四），上午10:00
地址：亿万先生MR校本部东区1号楼治理学院467会议室
主办单元：亿万先生MR治理学院、亿万先生MR治理学院青老大师联谊会
演讲人简介：
马甜，金融学博士，中央民族大学经济学院数字经济系副教授，CFA。重要钻研领域为人为智能与实证资产定价，钻研问题蕴含收益预测，风险预警以及量化投资战术构建等。在《Journal of Financial Markets》、《Journal of Empirical Finance》、《治理科学学报》、《经济学（季刊）》、《金融钻延追等国内表权威期刊颁发论文10余篇。主持国度天然科学基金项目1项。曾获中国金融工程学年会最佳论文奖等嘉奖。
演讲内容简介：
Machine learning techniques have significantly improved the prediction of expected stock returns. By distinguishing between trading days with major macroeconomic announcements (A-days) and regular trading days (N-days), we find that machine learning effectively captures time-varying sources of predictability of returns on A-days and N-days. We construct an ensemble model that combines results from models trained separately on these distinct types of days. Notably, the ensemble method outperforms models using complete datasets or subsets in forecasting accuracy, which highlights the “complexity in time-series variation”. Evidence from bond-related characteristics reinforces the presence of time variation in asset pricing models.
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