Deep Learning in Asset Pricing

The authors thank Doron Avramov, Ravi Bansal, Daniele Bianchi (discussant), Svetlana Bryzgalova, Agostino Capponi, Xiaohong Chen, Anna Cieslak, John Cochrane, Lin William Cong, Victor DeMiguel, Jens Dick-Nielsen (discussant), Kay Giesecke, Stefano Giglio, Goutham Gopalakrishna (discussant), Robert Hodrick, Bryan Kelly (discussant), Serhiy Kozak, Martin Lettau, Anton Lines, Marcelo Medeiros (discussant), Scott Murray (discussant), Stefan Nagel, Andreas Neuhierl (discussant), Kyoungwon Seo (discussant), Gustavo Schwenkler, Neil Shephard, and Guofu Zhou as well as seminar and conference participants at Yale School of Management, Stanford, University of California, Berkeley, Washington University in St. Louis, Temple University, Imperial College London, University of Zurich, University of California, Los Angeles, Bremen University, Santa Clara University, King’s College London, the Utah Winter Finance Conference, the Georgia State University–Review of Financial Studies FinTech Conference, the New Technology in Finance Conference, the London Business School Finance Summer Symposium, the Fourth International Workshop in Financial Econometrics, Triangle Macro-Finance Workshop, German Economists Abroad Annual Meeting, the Western Mathematical Finance Conference, INFORMS, SIAM Financial Mathematics, International Conference on Computational and Financial Econometrics, Shanghai Edinburgh Fintech Conference, Annual NLP and Machine Learning in Investment Management Conference, Annual Conference on Asia-Pacific Financial Markets, European Winter Meeting of Econometric Society, AI in Asset Management Day, Winter Research Conference on Machine Learning and Business, French Association of Asset and Liability Manager Conference, Midwest Finance Association Annual Meeting, Annual Meeting of the Swiss Society for Financial Market Research, Society for Financial Econometrics Annual Conference, and China Meeting of the Econometric Society for helpful comments. They thank the China Merchants Bank for generous research support. They gratefully acknowledge the best paper awards at the Utah Winter Finance Conference and Asia-Pacific Financial Markets Conference, the second place at the Chicago Quantitative Alliance Academic Paper Competition, and the honorable mention at the AQR Capital Insight Award.