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yolsever / ML-in-equity-prediction

My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"

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Code to original paper?

BabaYara opened this issue · comments

commented

In your code (stock_price.ipynb), you have a comment that reads, "## they never merge it". It got me wondering if the code to the paper "Empirical Asset Pricing via Machine Learning", that I believe you are working off, was ever published by the authors?

commented

Yes the original paper got published. I am sorry for my late reply. Let me know if you have other questions. The link is: https://dachxiu.chicagobooth.edu/download/ML.pdf

commented

Is there any way I can get the data?

commented

@XinL97 I am sorry for my extremely late reply but the data can be downloaded using the SAS code I shared. You need an account on WRDS though.

@BabaYara I realized that I did not answer your question. No, the code was not published, however, you can access the paper using the link I shared. I wrote this code myself, trying my best to replicate what the authors were saying on the paper.