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DESCRIPTION:\n	\n		ISS Informal Systems Seminar\n			Speaker: Ruslan Goyenko – Ass
 ociate Professor\, Finance\, Desautels Faculty of Management\, 91Ë¿¹ÏÊÓƵ Univ
 ersity\, Canada \n		\n	\n\n\n\n	 \n\n	\n		\n\n		Presentation on YouTube\n\n		Abstract
 : Deep learning methods\, which can accommodate wide ranges of various sto
 ck characteristics to identify optimal investment portfolio or stochastic 
 discount factor(SDF)\, have been criticized for extracting their superior 
 performances from difficult to arbitrage stocks\, high limits-to-arbitrage
  market conditions or extreme turnovers. We introduce attention-guided dee
 p learning\, which\, in a data driven way\, allows identifying the most in
 fluential time-varying firm characteristics contributing to SDF. Attention
  dramatically improves SDF performance and reduces portfolio rebalancing c
 osts. The attention guided SDF outperforms existing models after trading c
 osts\, excluding small and micro-cap stocks\, avoids extreme portfolio wei
 ghts\, and unlike other models\, exhibits the best performance during mark
 et regimes with the highest price efficiency.\n\n		\n		Biography: Ruslan Goyen
 ko is an Associate Professor of Finance at Desautels Faculty of Management
 \, 91Ë¿¹ÏÊÓƵ. He also held faculty appointments at the University 
 of Toronto (Canada)\, Notre Dame University (USA) and is currently a visit
 ing Associate Professor of Finance at Yale School of Management (USA). Whi
 le his primary area of expertise is liquidity and liquidity risk among dif
 ferent asset classes\, his most recent research is focused on the applicat
 ion of machine learning (ML)in asset pricing\, such as return predictabili
 ty\, optimal portfolio construction\, optimization\, and risk management. 
 He published in top finance peer-reviewed academic journals and co-organiz
 es prestigious industry conferences on Applications of ML/AI in Asset Mana
 gement. He is a recipient of numerous research grants from The Social Scie
 nces and Humanities Research Council of Canada\, and more recently from Au
 torité des Marchés Financiers (Financial Markets Regulatory Authority in Q
 uébec). In early 2021\, Ruslan co-founded and is currently a scientific di
 rector of FIRM Labs (Financial Innovations and Risk Management Labs). FIRM
  is a research tank\, which bridges the gap between two disciplines\, fina
 ncial economics and computer science. Its objective is to develop fundamen
 tal and practical applications of ML/AI in Asset Management\, and finance 
 in general.\n	\n\n
DTSTART:20220617T150000Z
DTEND:20220617T160000Z
LOCATION:CA\, ZOOM
SUMMARY:Asset Pricing With Attention Guided Deep Learning
URL:/cim/channels/event/asset-pricing-attention-guided
 -deep-learning-351692
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