Machine Learning Forecasts of Asymmetric Betas Using Firm-Specific Information
Fuente:
arXiv
Saved in:
| Main Authors: | Conlon, Thomas, Cotter, John, Kynigakis, Iason |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method
by: Jeleskovic, Vahidin, et al.
Published: (2024)
by: Jeleskovic, Vahidin, et al.
Published: (2024)
Option Pricing with Time-Varying Volatility Risk Aversion
by: Hansen, Peter Reinhard, et al.
Published: (2022)
by: Hansen, Peter Reinhard, et al.
Published: (2022)
Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models
by: Moriya, Koichiro, et al.
Published: (2026)
by: Moriya, Koichiro, et al.
Published: (2026)
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026)
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026)
Crypto Pricing with Hidden Factors
by: Brigida, Matthew
Published: (2026)
by: Brigida, Matthew
Published: (2026)
High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions
by: Gao, Zhaoxing, et al.
Published: (2025)
by: Gao, Zhaoxing, et al.
Published: (2025)
On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
by: Moriya, Koichiro, et al.
Published: (2023)
by: Moriya, Koichiro, et al.
Published: (2023)
Event-Driven Market Co-Movement Dynamics in Critical Mineral Equities: An Empirical Framework Using Change Point Detection and Cross-Sectional Analysis
by: Wang, Haibo
Published: (2026)
by: Wang, Haibo
Published: (2026)
Latent Factor Analysis in Short Panels
by: Fortin, Alain-Philippe, et al.
Published: (2023)
by: Fortin, Alain-Philippe, et al.
Published: (2023)
The Virtue of Sparsity in Complexity
by: Afsharhajari, Nima, et al.
Published: (2026)
by: Afsharhajari, Nima, et al.
Published: (2026)
Interpretable Factors of Firm Characteristics
by: Jiao, Yuxiao, et al.
Published: (2025)
by: Jiao, Yuxiao, et al.
Published: (2025)
An Asymmetric Capital Asset Pricing Model
by: Hatemi-J, Abdulnasser
Published: (2024)
by: Hatemi-J, Abdulnasser
Published: (2024)
Fast Derivative Valuation from Volatility Surfaces using Machine Learning
by: Ding, Lijie, et al.
Published: (2025)
by: Ding, Lijie, et al.
Published: (2025)
A3T-GCN for FTSE100 Components Price Forecasting
by: Paredes, A. L.
Published: (2025)
by: Paredes, A. L.
Published: (2025)
Fast Monte-Carlo
by: Aldridge, Irene
Published: (2026)
by: Aldridge, Irene
Published: (2026)
Asset Pricing Model in Markets of Imperfect Information and Subjective Views
by: Lalioui, Hafid, et al.
Published: (2025)
by: Lalioui, Hafid, et al.
Published: (2025)
Why `Fair Market Valuations' are Inappropirate for Employee-Owned Firms and Partnerships
by: Ellerman, David
Published: (2025)
by: Ellerman, David
Published: (2025)
Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions
by: Hong, Yoonsik, et al.
Published: (2025)
by: Hong, Yoonsik, et al.
Published: (2025)
Electricity Price Forecasting in the Irish Balancing Market
by: O'Connor, Ciaran, et al.
Published: (2024)
by: O'Connor, Ciaran, et al.
Published: (2024)
Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach
by: Xu, Maochun, et al.
Published: (2026)
by: Xu, Maochun, et al.
Published: (2026)
The Corporate Bond Factor Replication Crisis
by: Dickerson, Alexander, et al.
Published: (2026)
by: Dickerson, Alexander, et al.
Published: (2026)
Fair Pricing in Long-Term Insurance: A Unified Framework
by: Lim, Hong Beng, et al.
Published: (2026)
by: Lim, Hong Beng, et al.
Published: (2026)
One Rising Ship Sinks Other Ships: Cross-Chain Negative Spillovers in Crypto Markets
by: Ma, Mengzhong, et al.
Published: (2026)
by: Ma, Mengzhong, et al.
Published: (2026)
Keeping Up with the Correlations: Stochastic Spot/Volatility Correlation and Exotic Pricing
by: Higgins, Mark
Published: (2026)
by: Higgins, Mark
Published: (2026)
The Co-Pricing Factor Zoo
by: Dickerson, Alexander, et al.
Published: (2026)
by: Dickerson, Alexander, et al.
Published: (2026)
Priced risk in corporate bonds
by: Dickerson, Alexander, et al.
Published: (2026)
by: Dickerson, Alexander, et al.
Published: (2026)
Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions
by: Molent, Andrea
Published: (2026)
by: Molent, Andrea
Published: (2026)
VIX options in Bergomi models
by: Guo, Desen, et al.
Published: (2026)
by: Guo, Desen, et al.
Published: (2026)
Generic Forward Curve Dynamics for Commodity Derivatives
by: Xiao, David
Published: (2023)
by: Xiao, David
Published: (2023)
Foreign Signal Radar
by: Jiao, Wei
Published: (2025)
by: Jiao, Wei
Published: (2025)
VIX options in the SABR model
by: Pirjol, Dan, et al.
Published: (2025)
by: Pirjol, Dan, et al.
Published: (2025)
A Co-evolutionary Approach for Heston Calibration
by: Gutierrez, Julian
Published: (2025)
by: Gutierrez, Julian
Published: (2025)
Counterexamples for FX Options Interpolations -- Part II
by: Healy, Jherek
Published: (2025)
by: Healy, Jherek
Published: (2025)
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
by: Lee, Ting-Jung, et al.
Published: (2025)
by: Lee, Ting-Jung, et al.
Published: (2025)
Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data
by: Maréchal, Loïc, et al.
Published: (2024)
by: Maréchal, Loïc, et al.
Published: (2024)
CBI-time-changed Lévy processes for multi-currency modeling
by: Fontana, Claudio, et al.
Published: (2021)
by: Fontana, Claudio, et al.
Published: (2021)
GIFfluence: A Visual Approach to Investor Sentiment and the Stock Market
by: Gu, Ming, et al.
Published: (2025)
by: Gu, Ming, et al.
Published: (2025)
Asset Pricing in the Presence of Market Microstructure Noise
by: Yegon, Peter, et al.
Published: (2025)
by: Yegon, Peter, et al.
Published: (2025)
Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility
by: Pirjol, Dan, et al.
Published: (2023)
by: Pirjol, Dan, et al.
Published: (2023)
Data-driven Option Pricing
by: Dai, Min, et al.
Published: (2024)
by: Dai, Min, et al.
Published: (2024)
Similar Items
-
The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method
by: Jeleskovic, Vahidin, et al.
Published: (2024) -
Option Pricing with Time-Varying Volatility Risk Aversion
by: Hansen, Peter Reinhard, et al.
Published: (2022) -
Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models
by: Moriya, Koichiro, et al.
Published: (2026) -
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
by: Mensah, Abigail Anokyewaa, et al.
Published: (2026) -
Crypto Pricing with Hidden Factors
by: Brigida, Matthew
Published: (2026)