UMI adds learned stock-level mispricing residuals and market-level synchrony representations to stock return forecasting models, improving IC and Sharpe ratio on US and China markets.
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Learning Universal Multi-level Market Irrationality Factors to Improve Stock Return Forecasting
UMI adds learned stock-level mispricing residuals and market-level synchrony representations to stock return forecasting models, improving IC and Sharpe ratio on US and China markets.