2 papers
q-fin.PR2026
Machine Learning Forecasts of Asymmetric Betas Using Firm-Specific Information
Thomas Conlon, John Cotter, Iason Kynigakis
We demonstrate that machine learning methods provide a powerful framework for modelling conditional asymmetric risk. Using a large cross-section of US stocks and a comprehensive se…
q-fin.PM2021
Machine Learning and Factor-Based Portfolio Optimization
Thomas Conlon, John Cotter, Iason Kynigakis
We examine machine learning and factor-based portfolio optimization. We find that factors based on autoencoder neural networks exhibit a weaker relationship with commonly used char…