국제무역
Artificial Intelligence Asset Pricing Models
The core statistical technology in artificial intelligence is the large-scale transformer network. We propose a new asset pricing model that implants a transformer in the stochastic discount factor. This structure leverages conditional pricing information via cross-asset information sharing and nonlinearity. We also develop a linear transformer that serves as a simplified surrogate from which we derive an intuitive decomposition of the transformer‘s asset pricing mechanisms. We find large reductions in pricing errors from our artificial intelligence pricing model (AIPM) relative to previous machine learning models and dissect the sources of these gains.
많이 본 자료
![[팀튜링의 디지털 오디세이] 제1화 UAM의 미래](/userdata/main/incContent/sideLink/19/aaaGHKBjsPPI5g31szc-y20240605110816byhta.png)
![[2024.04] 물가상승](/userdata/main/incContent/sideLink/20/aaaGHKBjsPPI5g31szc-y20240605111046bpogp.jpg)
