Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning techniques can be practical investment tools. Although machine learning algorithms can uncover subtle, contextual and non-linear relationships,...

Stock returns predictability has been a long-standing topic in the literature on financial economics. Developments in prediction technology have facilitated the wide use of machine learning techniques, which motivates our study of whether stock returns predictability can be improved using...