Research Markets

Specification LASSO and a Flexible Characteristics-Based Asset Pricing Model

Nov 2, 2026 Source ↗

Key Insights

This paper studies a partially linear semiparametric additive model that allows for interactions among variables in high-dimensional settings.
We propose the Specification LASSO (S-LASSO), a two-step.

Market Microstructure Asset Pricing Models

Cite this synthesis DOI: 10.1080/07350015.2026.2729095 ↗

Show formatted citation

@misc{ acaciamarkets-research-specification-lasso-and-a-flexible-characteristics-based-ass,
  title = { Specification LASSO and a Flexible Characteristics-Based Asset Pricing Model },
  author = { Leszek },
  year = { 2026 },
  doi = { 10.1080/07350015.2026.2729095 },
  url = { http://arxiv.org/abs/2611.03391v1 },
  note = {Summarized and classified by AcaciaFund}
}

TY  - GEN
TI  - Specification LASSO and a Flexible Characteristics-Based Asset Pricing Model
AU  - Leszek
PY  - 2026
DO  - 10.1080/07350015.2026.2729095
UR  - http://arxiv.org/abs/2611.03391v1
ER  -

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Overview

This paper studies a partially linear semiparametric additive model that allows for interactions among variables in high-dimensional settings. We propose the Specification LASSO (S-LASSO), a two-step

Key Topics

Quantitative Modeling: A theme covered by this item within the markets context.

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Article Metadata

Evergreen Synthesized

quantitative-modeling market-microstructure

Market Microstructure Asset Pricing Models

SQI 0.750