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Enjoy 6 sets of excellent lecture notes on Big Data Asset Pricing prepared by Lasse H Pedersen (AQR, Copenhagen Business School)
Some of the topics covered: Factor construction, multiple testing, machine learning, predictability,....
#lecturenotes #finance
Here we go: ->🧵
Some of the topics covered: Factor construction, multiple testing, machine learning, predictability,....
#lecturenotes #finance
Here we go: ->🧵
Lecture 1: A Primer on Asset Pricing
papers.ssrn.com/sol3/papers.cf…
Lecture 2: A Primer on Empirical Asset Pricing
papers.ssrn.com/sol3/papers.cf…
papers.ssrn.com/sol3/papers.cf…
Lecture 2: A Primer on Empirical Asset Pricing
papers.ssrn.com/sol3/papers.cf…
Lecture 3: Working with Big Asset Pricing Data
papers.ssrn.com/sol3/papers.cf…
Lecture 4: The Factor Zoo and Replication
papers.ssrn.com/sol3/papers.cf…
papers.ssrn.com/sol3/papers.cf…
Lecture 4: The Factor Zoo and Replication
papers.ssrn.com/sol3/papers.cf…
