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Machine Learning in Finance: A Metadata-Based Systematic Review of the Literature
16 references·0 citing·49 second hop
Machine Learning in Finance: A Metadata-Based Systematic Review of the Literature (2021)Machine Learning in Finance: A Metadata-B…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Method for conducting systematic literature review and meta-analysis for environmental science research (2019)Method for conducting systema…Deep learning with long short-term memory networks for financial market predictions (2017)Deep learning with long short…bibliometrix : An R-tool for comprehensive science mapping analysis (2017)bibliometrix : An R-tool for …Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Deep neural networks, gradien…Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting the Equity Risk P…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…A typology of reviews: an analysis of 14 review types and associated methodologies (2009)A typology of reviews: an ana…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Foundations of Technical Anal…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…The use of technical analysis in the foreign exchange market (1992)The use of technical analysis…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Oxford English dictionary (2004)The Oxford English Dictionary Online (2004)Cochrane Handbook for Systematic Reviews of Interventions (2008)Scoping studies: advancing the methodology (2010)Systematic review or scoping review? Guidance for authors when choosing between a systematic or scoping review approach (2018)Literature review as a research methodology: An overview and guidelines (2019)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)In Search of Attention (2011)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)Textual Analysis in Accounting and Finance: A Survey (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On Persistence in Mutual Fund Performance (1997)A Comparison of ARIMA and LSTM in Forecasting Time Series (2018)The Performance of LSTM and BiLSTM in Forecasting Time Series (2019)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)An index to quantify an individual's scientific research output (2005)Software survey: VOSviewer, a computer program for bibliometric mapping (2009)Bibliometric Methods in Management and Organization (2014)Conducting systematic literature reviews and bibliometric analyses (2019)Software tools for conducting bibliometric analysis in science: An up-to-date review (2020)How to conduct a bibliometric analysis: An overview and guidelines (2021)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Econometrics of Financial Markets (1997)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Forecasting Stock Returns (2013)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Comparing Predictive Accuracy (1994)A five-factor asset pricing model (2014)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Machine learning in the Chinese stock market (2021)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2017bibliometrix : An R-tool for comprehensive science mapping analysis16,195 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2009A typology of reviews: an analysis of 14 review types and associated methodologies10,781 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2017Deep learning with long short-term memory networks for financial market predictions2,827 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation1,118 cited
  • 2019Method for conducting systematic literature review and meta-analysis for environmental science research1,107 cited
  • 1992The use of technical analysis in the foreign exchange market1,071 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
  • 2016Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500749 cited
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A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
718 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
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