THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL

DOI10.1142/s0219024923500206arXiv2003.08302OpenAlexW4388112549MaRDI QIDQ6182058

Martin T. Wells, Unnamed Author, Liao Zhu, Robert A. Jarrow

Publication date: 23 January 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.08302

zbMATH Keywords

machine learningfalse discovery ratehigh-dimensional statisticsAMF modelGIBS algorithmlow-volatility anomaly

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Financial markets (91G15)

Cites Work

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• An Intertemporal Capital Asset Pricing Model
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