A Bibliometric Analysis of Machine Learning Econometrics in Asset Pricing

Zapata, Héctor O.; Mukhopadhyay, Supratik

doi:10.3390/jrfm15110535

Cited by 7 publications

(4 citation statements)

References 57 publications

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“…To evaluate vast volumes of financial data, find patterns and links, and create more reliable and accurate asset pricing models, machine learning algorithms are employed in asset pricing. To create models that can effectively estimate assets, financial analysts utilize machine learning algorithms to assess a variety of data sources, such as macroeconomic statistics, corporate fundamentals, news sentiment, and social media data (Zapata & Mukhopadhyay, 2022).…”

Section: Methodsmentioning

confidence: 99%

Ai-Driven Capital Asset Pricing Model for Enhancing Shariah-Compliant Investment Decisions – A Chinese Stock Market Analysis

2023

ijibm

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The CAPM makes it possible to estimate prices for specific instruments, like stocks, to project investment returns. As a key element of corporate finance and investment banking, the CAPM investigates the relationship between the level of risk associated with the investment and the inherent risks of the market as a whole. Several assumptions must be used to create the AI-driven mathematical model for Islamic financial assets to achieve the model. The first is that the expected values and standard deviations of the asset's returns are the only factors that influence investors' choices. Additionally, since the zakat and purification are deducted from the anticipated returns, there are no transaction fees. The assets may be marketable and are infinitely divisible in addition. Finally, there is no cap on the amount that may be lent or borrowed at the Sukuk profit rate or other Islamic benchmark rates because all expectations are homogenous. We presented a new AI-driven Islamic CAPM for the estimation of returns for Shariah-compliant A-Shares enterprises. The methodology represents a new AI-driven estimation framework integrated into the Islamic CAPM methodology for the estimation of returns and selection. The methodology was evaluated on an Islamic A-share portfolio, with the stocks being listed on both the Shenzhen and Shanghai stock exchanges. The analysis demonstrates the ability of the methodology to provide Shariah-compliant optimal returns for the stocks and ensure Shariah compliance of the portfolio allocations.

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Section: Methodsmentioning

confidence: 99%

Ai-Driven Capital Asset Pricing Model for Enhancing Shariah-Compliant Investment Decisions – A Chinese Stock Market Analysis

2023

ijibm

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“…The above model can be improved and validated based on our proposed QACDes framework with a relatively small number of IVE experiments as opposed to the prior work. QACDes can potentially also be applied for different financial applications such as asset pricing, capital market predictions, and financial risk analysis 47 . While ML-based models have been proposed in the literature, there has been a distinct lack of context awareness in the models seen to date.…”

Section: Generalizability: Intelligent Transportation Systemsmentioning

confidence: 99%

QACDes: QoS-Aware Context-sensitive Design of Cyber-Physical Systems

Sidhanta,

Chokwitthaya,

Zhu

et al. 2024

Preprint

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There is a lot of confusion and ambiguity regarding the quantification of the Quality of Service (QoS) * of a system, especially for cyber-physical systems (CPS) involved in automating or controlling the operations in built environments and critical urban infrastructures, such as office buildings, factories, transportation systems, smart cities, etc. In these cases, the QoS, as experienced by human users, depends on the context in which they (i.e., humans) interact with these systems. Traditionally, the QoS of a CPS has been defined in terms of absolute metrics. Such measures are unable to take into account the variations in performance due to contextual factors arising out of different kinds of human interactions. Further, the QoS of a CPS has typically been evaluated by comparing the performance of the actual, fully realized system with the given QoS constraints only after the actual system has been completely developed. In the case of faults in the design exposed by observed deviations from the QoS constraints due to unpredicted variations in the contextual factors, the system needs to be redesigned and redeveloped from scratch. Due to the above-mentioned reason, the validation approach associated with the traditional QoS makes the design of CPS systems prohibitively expensive, impractical, as well as infeasible in numerous application areas, such as civil and engineering works, since it may not be possible to modify the system once developed beyond a certain extent. To that end, we propose a context-aware definition of QoS of a CPS which facilitates the design of robust systems as elaborated below. In this paper, we define QoS as a function of contextual factors. A CPS designed according to our QoS specifications would always satisfy the QoS irrespective of any possible changes in contextual factors resulting from many different human interactions that may occur during operation of the system. We also present QACDes-a novel framework that provides a formal mechanism for validating the design of a CPS with respect to the specified QoS constraints at the design phase as well as after the realization of the actual system. QACDes can validate any given CPS, irrespective of its application domain, against a QoS guarantee: A) as early as even before the design phase by comparing the proposed model with a baseline model, or B) after the realization of the actual system based on logs collected from running the actual system. Using the automated lighting control system in a building † as a use case, we analyze and demonstrate the effectiveness of our QoS definition as well as the QACDes framework against the performance metric measured in an actual fully-realized CPS.

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“…At present, many scholars use bibliometric methods to analyze the situation and trend of a certain research problem [ [27] , [28] , [29] , [30] ].Bibliometric analysis is a thorough and quantitative examination of the background, present state, trends, and hotspots of a certain study area [ 31 ]. For instance, Brahmi et al [ 27 ] employed bibliometric analysis and systematic literature review to investigate the role of green innovation in fostering financial inclusion for a sustainable future.…”

Section: Introductionmentioning

confidence: 99%