Sadorsky, Perry A. - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-20
direction is more successful than predicting actual stock prices. This paper uses the machine learning method of random forests … as features. Decision tree bagging and random forests predictions of stock price direction are more accurate than those … obtained from logit models. For a 20-day forecast horizon, tree bagging and random forests methods produce accuracy rates of …