Shihao Gu

University of Chicago - Booth School of Business

Chicago, IL

United States

SCHOLARLY PAPERS

2

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Top 2,048

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19,753

SSRN CITATIONS
Rank 5,448

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Top 5,448

in Total Papers Citations

239

CROSSREF CITATIONS

9

Scholarly Papers (2)

1.
Downloads 13,864 ( 320)
Citation 109

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 13,784 (319)
Citation 25

Abstract:

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Machine Learning, Big Data, Return Prediction, Cross-Section of Returns, Ridge Regression, (Group) Lasso, Elastic Net, Random Forest, Gradient Boosting, (Deep) Neural Networks, Fintech

Empirical Asset Pricing Via Machine Learning

NBER Working Paper No. w25398
Number of pages: 80 Posted: 26 Dec 2018 Last Revised: 26 May 2021
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 80 (376,501)
Citation 64

Abstract:

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2.

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35 Posted: 07 Mar 2019 Last Revised: 01 Oct 2019
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 5,889 (1,533)
Citation 30

Abstract:

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stock returns, conditional asset pricing model, nonlinear factor model, machine learning, autoencoder, neural networks, big data