Application of Machine Learning in Financial Asset Pricing:A Review

Abstract

The key problem of financial asset allocation is asset price.Asset pricing is the core content of modern finance,which indicates that asset pricing law has always been one of the hot topics of financial research.This paper reviews the methods used by machine learning in the field of asset pricing and research progresses,classifies machine learning asset pricing method into machine learning method based on the characteristics processing and deep learning method based on end-to-end processing,compares the differences between different algorithms in principle and application scenarios,points out the applicability and limitations of the two kinds of machine learning methods,prospects the research direction on machine learning asset pricing in the future.

Keywords

• machine learning|asset pricing|portfolio|price forecasting|deep learning