Wolff, Dominik; Echterling, Fabian - In: Journal of Forecasting 43 (2023) 1, pp. 81-102
We analyze machine learning algorithms for stock selection. Our study builds on weekly data for the historical constituents of the S&P500 over the period from January 1999 to March 2021 and builds on typical equity factors, additional firm fundamentals, and technical indicators. A variety of...