Uzunlu, Baris Yalin; Hussain, Syed Muzammil - In: International econometric review 12 (2020) 2, pp. 112-138
This research aims at exploring whether simple trading strategies developed using state-ofthe-art Machine Learning (ML) algorithms can guarantee more than the risk-free rate of return or not. For this purpose, the direction of S&P 500 Index returns on every 6th day (SPYRETDIR6) and magnitude of...