讲座时间：4月14日下午15:00
腾讯会议id：137 733 527
讲座题目：基于大数据和机器学习的股票与债券市场预测
讲座内容：we provide a comprehensive study on the cross-sectional predictability of corporate bond returns using big data and machine learning. we examine whether a large set of equity and bond characteristics drive the expected returns on corporate bonds. using either set of characteristics, we find that machine learning methods substantially improve the out-of-sample predictive power for bond returns, compared to the traditional linear regression models. while equity characteristics produce significant explanatory power for bond returns, their incremental predictive power relative to bond characteristics is economically and statistically insignificant. bond characteristics provide as strong forecasting power for future equity returns as using equity characteristics alone. however, bond characteristics do not offer additional predictive power above and beyond equity characteristics when we combine both sets of predictors.
讲座人简介：姜富伟，金融学博士，现任中央财经大学金融工程系主任、教授、博导，研究领域包括资产定价、行为金融、金融科技等，在金融学顶级期刊journal of financial economics、review of financial studies、management science和《金融研究》、《管理科学学报》、《经济学季刊》等发表论文30余篇，主持国家自然科学基金等课题项目5项，担任国家自然科学基金通讯评审、教育部学位中心评审专家、ssci来源期刊编委和30多本中英文学术期刊匿名评审，成果被评为esi经济管理类全球前1%最高被引用论文和rfs高引论文，并被《哈佛商业评论》、《清华金融评论》、杜克大学全球金融市场研究中心、招商证券、瑞士银行等转载应用，曾荣获《金融研究》优秀论文奖、亚洲金融协会最佳论文奖、国际财务管理协会最佳论文奖等学术奖励。
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