In this paper, we provide insights on the prediction of asset returns via novel machine learning methodologies. Machine learning clustering-enhanced classification and regression techniques to predict future asset return movements are proposed and compared. Numerical experiments show good...

This paper proposes a novel bond return (price or yield curve) prediction methodology, unifying the classical no arbitrage pricing framework, which is ubiquitous and serves as the fundamental theoretical building block in mathematical finance, and empirical asset (bond) pricing methodologies,...