Deep Partial Least Squares for Empirical Asset Pricing.
Matthew F. DixonNicholas G. PolsonKemen GoicoecheaPublished in: CoRR (2022)
Keyphrases
- partial least squares
- discriminant analysis
- dimension reduction
- financial markets
- canonical correlation analysis
- factor analysis
- ls svm
- principal component analysis
- principal component regression
- spectral data
- computer vision
- high dimensionality
- linear discriminant analysis
- high dimensional
- feature space
- feature selection
- data sets