分组报告

本课程的最终成绩, 由

1. 三次平时作业
2. 最后一次课堂的小组报告

共同组成. 两者各占 50 分.

如果你缺席了最后的小组报告, 也没有提前向教师说明原因. 小组报告视作0分; 根据上面的成绩算法, 你这门课的最终成绩也不会超过50分.

如何分组

• 两人或三人一组, 自行组队. 组队完成后, 派一位组员告知教师小组的成员信息. (通过QQ或邮箱说明均可)

• 如果有同学5月25日前, 还没有告诉教师你的组员情况, 会被教师视作"落单成员". 教师会在 5月26日(周五)的课堂中, 在落单的成员中进行随机匹配.

  • 建议大家积极寻找组员. 因为如果只有你一个人落单, 那么你就只能独自一人完成论文报告.

论文报告要求

• 每个小组的论文报告时间为 20 到 25 分钟. 可以全程只让一位同学进行报告, 也可以多位小组成员依次报告.

• 每个小组选讲一篇论文, 论文挑选范围见下面的 Paper List.

Paper List

• 下面提供的论文仅供参考. 你也可以从其他的地方寻找文章; 只要最后的报告文章, “涉及到机器学习和金融"即可. 你可以从每篇文章的文献综述部分出发, 按图索骥, 找一篇你感兴趣的进行报告.
• 尽管论文挑选的唯一标准是 “涉及到机器学习和金融”, 教师建议大家 (i) 尽量找新一点的文献 (ii) 尽量选英文文章, 最好是在 Top 期刊已经发表的文章, 因为学生往往很难自行判断文章好坏.

Lasso and market returns predictions

• Rapach, D. E., J. K. Strauss, and G. Zhou. 2013. International stock return predictability: what is the role of the United States? The Journal of Finance

Machine learning v.s. traditional methods in measuring asset risk premiums

• Gu, Kelly and Xiu. 2020. Empirical Asset Pricing via Machine Learning. Review of Financial Studies
  • Also, read the online appendix and the empirical exercise

Trees and portfolio

• Moritz, B., and T. Zimmermann. 2016. Tree-based conditional portfolio sorts: The relation between past and future stock returns. Unpublished.

Trees and consumer credit card behavior

• Khandani, A. E., A. J. Kim, and A. W. Lo. 2010. Consumer credit-risk models via machine-learning algorithms. Journal of Banking & Finance.

• Butaru, F., Q. Chen, B. Clark, S. Das, A. W. Lo, and A. Siddique. 2016. Risk and risk management in the credit card industry. Journal of Banking & Finance.

Neural network and deep learning

• Apaar Sadhwani, Kay Giesecke, Justin Sirignano. 2021. Deep Learning for Mortgage Risk. Journal of Financial Econometrics

• J. B. Heaton, N. G. Polson, J. H. Witte. 2018. Deep Learning in Finance. Unpublished.

Bootstrap

• Harvey, C. R., and Y. Liu. 2021. Lucky factors. Journal of Financial Economics.

Dimension reduction

• Kelly, B., S. Pruitt, and Y. Su. 2019. Characteristics Are Covariances: A Unified Model of Risk and Return. Journal of Financial Economics.

• Stefano Giglio and Dacheng Xiu. 2021. Asset Pricing with Omitted Factors Journal of Political Economy.

Shrinkage

• Kozak, S., S. Nagel, and S. Santosh. 2019. Shrinking the Cross Section. Journal of Financial Economics.

• Freyberger, J., A. Neuhierl, and M. Weber. 2019. Dissecting Characteristics Nonparametrically. Review of Financial Studies.