Asset Pricing and Artificial Neural Networks

Published: 31 October 2018| Version 2 | DOI: 10.17632/y2jfnnnc2z.2
Muhammad Naveed jan


Artificial Neural Networks can be used to forecast the portfolio returns in the presence of Fama and French Three factor and five-factor model


Steps to reproduce

at the first stage, I collected the secondary data for 15 years regarding the financial variables of the major composite factors of the five factors model. then i applied the ANN methodology to calculate the MSE of all the 30 portfolios in a Matlab program. I organized the data in Excel format for all the 15 years.


Stock Price