金融与财务学系系列讲座之263期

时间2021年12月21日(周二)13:00-14:30

腾讯会议号:872-331-559  

会议链接: https://meeting.tencent.com/dm/XqoxudHchZgb

主题Interpretable and Arbitrage-Free Deep Learning for Corporate Bond Pricing

演讲者Ph.D.  Guanhao Feng  Associate Professor, City University of Hong Kong

摘要This paper combines asset pricing theory with deep learning for pricing the cross section of corporate bonds. The proposed deep learning model can flexibly introduce the well-established factors and provide us with latent factors that are not subsumed in those existing factors. The generated deep factors are tradable longshort portfolios based on a large number of bond and equity characteristics and hence are economically more interpretable. We show empirically that our deep learning factor model improves the asset pricing performance on various corporate bond portfolios over standard factor models and recommends bond investment portfolios that outperform the leading corporate bond strategies.

简介冯冠豪博士是香港城市大学商业统计的助理教授,他同时也是商业数据分析硕士项目主任,数据科学学院兼任教授,以及人工智能金融科技实验室的Co-PI。冯博士的学术研究已在Journal of Finance和Journal of Econometrics发表,他也常被邀请在顶尖金融学术会议和国际投资会议做研究报告。冯博士在2017年从芝加哥大学博士毕业,研究领域包括金融计量,实证资产定价,机器学习,和金融科技。

 

 

金融与财务学系

2021-12-16