ordinary least squares Archives

Rethinking thinking about figures

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Statistics influence opinion, and scientists have a role to play in that regard. Professor Jane E Miller of Rutgers, The State University of New Jersey, USA is a specialist in numeric literacy. She has published guidelines to help scientists and those communicating their work to clearly convey the methods, results, and implications of quantitative research. Her work challenges entrenched norms […]

Which factors are relevant for asset prices?

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Professor Audrino analyses the predictive performance of different machine learning based asset pricing models

Much research effort has focused on developing estimation methodologies and models aiming to identify the relevant factors for pricing the cross-section of stock returns, meaning the change in average returns across different stocks. Traditional asset pricing models with many factors can no longer cope with the dimensionality of present-day problems. Moreover, relying on misleading results could end in disastrous financial […]