Adaptive Group Lasso for Equity Prediction (Machine Learning)
- Contact:
- Project Group:
BSc and MSc
- Startdate:
Now
https://www.openassetpricing.com/ provides monthly factor returns for 300 equity factors proposed by literature. The goal is to develop an AGL algorithm following Freyberger, Neuhierl, Weber (2018) applying that algorithm to the data and identifying the factors with the highest predictive power on equity returns. The chair will provide stock return data.