Image de couverture de livre

Mislearning of Factor Risk Premia under Structural Breaks: A Misspecified Bayesian Learning Framework

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteur principal:	Qiu, Yimeng
Format:	Preprint
Publié:	2026
Sujets:	Portfolio Management Statistical Finance Trading and Market Microstructure Other Statistics
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models
par: Roszyk, Natalia, et autres
Publié: (2024)

Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs
par: Narajewski, Michał, et autres
Publié: (2021)

Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data
par: Rosenzweig, Jan
Publié: (2026)

Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025)
par: Singha, Mainak, et autres
Publié: (2025)

From Hypotheses to Factors: Constrained LLM Agents in Cryptocurrency Markets
par: Huang, Yikuan, et autres
Publié: (2026)

A Practical Machine Learning Approach for Dynamic Stock Recommendation
par: Yang, Hongyang, et autres
Publié: (2025)

A novel approach to trading strategy parameter optimization using double out-of-sample data and walk-forward techniques
par: Mroziewicz, Tomasz, et autres
Publié: (2026)

Autonomous Market Intelligence: Agentic AI Nowcasting Predicts Stock Returns
par: Chen, Zefeng, et autres
Publié: (2026)

Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns
par: Gharanchaei, Maysam Khodayari, et autres
Publié: (2024)

Refining and Robust Backtesting of A Century of Profitable Industry Trends
par: Massaad, Alessandro, et autres
Publié: (2024)

Overreaction as an indicator for momentum in algorithmic trading: A Case of AAPL stocks
par: Lis, Szymon, et autres
Publié: (2026)

Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options
par: Wysocki, Maciej
Publié: (2025)

Pools as Portfolios: Observed arbitrage efficiency & LVR analysis of dynamic weight AMMs
par: Willetts, Matthew, et autres
Publié: (2026)

Do Mutual Funds Make Active and Skilled Liquidity Choices in Portfolio Management? Evidence from India
par: Agarwal, Pankaj K, et autres
Publié: (2025)

Generating realistic metaorders from public data
par: Maitrier, Guillaume, et autres
Publié: (2025)

Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets
par: Lu, Yutong, et autres
Publié: (2023)

Kernel Learning for Mean-Variance Trading Strategies
par: Futter, Owen, et autres
Publié: (2025)

Deep Learning for Options Trading: An End-To-End Approach
par: Tan, Wee Ling, et autres
Publié: (2024)

Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy
par: Yang, Hongyang, et autres
Publié: (2025)

Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy
par: Etienne, Alban, et autres
Publié: (2025)

Market Making in Spot Precious Metals
par: Barzykin, Alexander, et autres
Publié: (2024)

Liquidity-adjusted Return and Volatility, and Autoregressive Models
par: Deng, Qi, et autres
Publié: (2025)

Unlocking Profit Potential: Maximizing Returns with Bayesian Optimization of Supertrend Indicator Parameters
par: Rahman, Abdul
Publié: (2024)

The Random Forest Model for Analyzing and Forecasting the US Stock Market in the Context of Smart Finance
par: Zheng, Jiajian, et autres
Publié: (2024)

Strict universality of the square-root law in price impact across stocks: a complete survey of the Tokyo stock exchange
par: Sato, Yuki, et autres
Publié: (2024)

Loss-Versus-Rebalancing under Deterministic and Generalized block-times
par: Nezlobin, Alex, et autres
Publié: (2025)

The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework
par: Maitrier, Guillaume, et autres
Publié: (2025)

Multi-kernel property in high-frequency price dynamics under Hawkes model
par: Lee, Kyungsub
Publié: (2023)

Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks
par: Fabre, Timothée, et autres
Publié: (2025)

Construction and Hedging of Equity Index Options Portfolios
par: Wysocki, Maciej, et autres
Publié: (2024)

Trade execution games in a Markovian environment
par: Ohnishi, Masamitsu, et autres
Publié: (2024)

A Volume-Price-Adjusted MACD Trading Strategy with Sensitivity Calibration for U.S. Equity Indices
par: Lin, Luyun, et autres
Publié: (2026)

Detecting Crypto Pump-and-Dump Schemes: A Thresholding-Based Approach to Handling Market Noise
par: Karbalaii, Mahya
Publié: (2025)

Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
par: Luwang, S. R., et autres
Publié: (2025)

Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading
par: Deng, Qi, et autres
Publié: (2024)

Neural Hidden Markov Model with Adaptive Granularity Attention for High-Frequency Order Flow Modeling
par: Hu, Tianzuo
Publié: (2026)

Information Propagation Across Investor Types: Transfer Entropy Networks in the Korean Equity Market
par: Kang, Sungwoo
Publié: (2026)

Insider Purchase Signals in Microcap Equities: Gradient Boosting Detection of Abnormal Returns
par: Zhao, Hangyi
Publié: (2026)

Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior
par: Un, Kuok Sin, et autres
Publié: (2025)

Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market
par: Bodor, Hamza, et autres
Publié: (2024)