Emergent and spontaneous computation of factor relationships from a   large factor set

doi:10.1016/j.jedc.2008.04.005

CORC > 北京大学 > 信息科学技术学院

	Emergent and spontaneous computation of factor relationships from a large factor set
	Wang, Zitian ; Wang, Lili ; Tan, Shaohua
刊名	journal of economic dynamics control
	2008
关键词	Asset pricing Financial factor analysis Bayesian Network Bayesian inference EXPECTED STOCK RETURNS MARKET EQUILIBRIUM DIVIDEND YIELDS COMMON-STOCKS ASSET PRICES CONSUMPTION RISK INFERENCE ANOMALIES
DOI	10.1016/j.jedc.2008.04.005
英文摘要	We propose a systematic factor analysis approach using the Bayesian Network (BN) framework by taking great advantage of the information conveyed in the large amount of financial data, as well as experts' personal insight and additional evidence. First, we build the BN for a large set of macroeconomic and firm-specific financial factors, describing factor interrelationships in the market. As a subgraph of the learned BN structure, a compact set of influential factors for return are extracted which jointly have high influence on the rate of return and low mutual redundancy among themselves. Then in the individual firm analysis, based on the general model of the market, additional information like human expert judgment can be incorporated in the model to conduct the specific and concrete individual firm study. Empirical results show the efficiency and flexibility of our method. (C) 2008 Elsevier B.V. All rights reserved.; Economics; SSCI; 7; ARTICLE; 12; 3939-3959; 32
语种	英语
内容类型	期刊论文
源URL	[http://ir.pku.edu.cn/handle/20.500.11897/153230]
专题	信息科学技术学院
推荐引用方式 GB/T 7714	Wang, Zitian,Wang, Lili,Tan, Shaohua. Emergent and spontaneous computation of factor relationships from a large factor set[J]. journal of economic dynamics control,2008.
APA	Wang, Zitian,Wang, Lili,&Tan, Shaohua.(2008).Emergent and spontaneous computation of factor relationships from a large factor set.journal of economic dynamics control.
MLA	Wang, Zitian,et al."Emergent and spontaneous computation of factor relationships from a large factor set".journal of economic dynamics control (2008).