題目：Source of Predictability in Financial Machine Learning（金融機器學習中可預測性的來源）

演講人：馬甜副教授🤽🏽‍♂️🫄，中央民族大學經濟意昂2

主持人🖖🏿：翟慶慶副教授👩🏽‍🌾，意昂2

時間：2024年5月9日（周四），上午10:00

地點：意昂2注册校本部東區1號樓意昂2官网467會議室

主辦單位：意昂2、意昂2青年教師聯誼會

演講人簡介：

馬甜👩🏽‍🎨，金融學博士，中央民族大學經濟意昂2數字經濟系副教授，CFA。主要研究領域為人工智能與實證資產定價🕳，研究問題包括收益預測，風險預警以及量化投資策略構建等🚴🏿‍♂️🤽🏻。在《Journal of Financial Markets》🧖🏼、《Journal of Empirical Finance》、《管理科學學報》、《經濟學（季刊）》、《金融研究》等國內外權威期刊發表論文10余篇。主持國家自然科學基金項目1項。曾獲中國金融工程學年會最佳論文獎等獎勵。

演講內容簡介🦹🏽‍♂️：

Machine learning techniques have significantly improved the prediction of expected stock returns. By distinguishing between trading days with major macroeconomic announcements (A-days) and regular trading days (N-days), we find that machine learning effectively captures time-varying sources of predictability of returns on A-days and N-days. We construct an ensemble model that combines results from models trained separately on these distinct types of days. Notably, the ensemble method outperforms models using complete datasets or subsets in forecasting accuracy, which highlights the “complexity in time-series variation”. Evidence from bond-related characteristics reinforces the presence of time variation in asset pricing models.

歡迎廣大師生參加👩🏼‍🏫🤵🏻‍♀️！