Empirical Asset Pricing via Machine Learning: Evidence from the German Stock Market

References:

Gu, Shihao; Kelly, Bryan; Xiu, Dacheng (2020): Empirical asset pricing via machine learning, in: The Review of Financial Studies, Vol. 33.5, S. 2223-2273.

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3_Exploratory Data Analysis.ipynb		3_Exploratory Data Analysis.ipynb
4.1_OLS-3.ipynb		4.1_OLS-3.ipynb
4.1_OLS.ipynb		4.1_OLS.ipynb
4.2_ENet.ipynb		4.2_ENet.ipynb
4.3_PLS.ipynb		4.3_PLS.ipynb
4.4_PCR.ipynb		4.4_PCR.ipynb
4.5_GBRT.ipynb		4.5_GBRT.ipynb
4.6_RF.ipynb		4.6_RF.ipynb
5_Cumulative Performace All Models.ipynb		5_Cumulative Performace All Models.ipynb
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