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Graph ML for Asset Pricing: Traversing the Supply Chain
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Standard asset pricing treats firms as isolated atoms — each valued solely on its own balance sheet, momentum, and factor loadings. But in reality, a chip shortage at TSMC reverberates through Apple’s supply chain, and on to every automaker waiting for electronics. Why should we expect a model that ignores these connections to price assets well?
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Graph Machine Learning for Asset Pricing: Traversing the Supply Chain
Published in , 2024
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