Luyang Chen

Stanford University - Institute for Computational and Mathematical Engineering

Huang Building, 475 Via Ortega

Suite 060 (Bottom level)

Stanford, CA 94305-4042

United States

SCHOLARLY PAPERS

2

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SSRN CITATIONS
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Top 28,201

in Total Papers Citations

16

CROSSREF CITATIONS

15

Scholarly Papers (2)

1.

Deep Learning in Asset Pricing

Number of pages: 66 Posted: 04 Apr 2019 Last Revised: 09 Nov 2020
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 3,873 (3,008)
Citation 33

Abstract:

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No-arbitrage, stock returns, conditional asset pricing model, non-linear factor model, machine learning, deep learning, neural networks, big data, hidden states, GMM

2.

Internet Appendix for Deep Learning in Asset Pricing

Number of pages: 51 Posted: 11 Jun 2020 Last Revised: 11 Sep 2020
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 172 (206,481)

Abstract:

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Conditional asset pricing model, no-arbitrage, stock returns, non-linear factor model, cross-section of expected returns, machine learning, deep learning, big data, hidden states, GMM