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Multi-horizon equity returns predictability via machine learning

Nechvatalova, Lenka - 2021

We examine the predictability of expected stock returns across horizons using machine learning. We use neural networks …

Persistent link: https://www.econbiz.de/10012426271

Shrinking the cross-section

Kozak, Serhiy; Nagel, Stefan; Santosh, Shrihari - In: Journal of financial economics 135 (2020) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10012542990

Robo-Advisory : Investing in the Digital Age

Scholz, Peter (ed.) - 2021 - 1st ed. 2021.

Part I. The Status Quo of Robo-Advisory -- Chapter 1. Robo-Advisory: The Rise of the Investment Machines; Peter Scholz and Michael Tertilt -- Chapter 2. Situating Robo-Advisory; Sinan Krueckeberg -- Part II. The Implementation of Robo-Advisory -- Chapter 3. Risk Preferences of Investors; Monika...

Persistent link: https://www.econbiz.de/10012399998

Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S&P 500

Knoll, Julian; Stübinger, Johannes; Grottke, Michael - In: Higher-order factorization machines : implementation, …, (pp. 69-104). 2017

Persistent link: https://www.econbiz.de/10011901662

Machine learning and the cross-section of cryptocurrency returns

Cakici, Nusret; Shahzad, Syed Jawad Hussain; … - In: International review of financial analysis 94 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10014543950

Machine learning techniques for cross-sectional equity returns' prediction

Fieberg, Christian; Metko, Daniel; Poddig, Thorsten; … - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 289-323

Persistent link: https://www.econbiz.de/10014226390

An On-Line Machine Learning Return Prediction

Tian, Weidong; Lu, Yueliang (Jacques) - 2022

small as 2\%. This methodology provides a promising application of on-line machine learning to portfolio return prediction …

Persistent link: https://www.econbiz.de/10014239340

Option return predictability with machine learning and big data

Bali, Turan G.; Beckmeyer, Heiner; Mörke, Mathis; … - In: The review of financial studies 36 (2023) 9, pp. 3548-3602

Persistent link: https://www.econbiz.de/10014331550

Essays on empirical asset pricing

Jensen, Theis Ingerslev - 2023 - First edition

Persistent link: https://www.econbiz.de/10014283695

Robust monitoring machine : a machine learning solution for out-of-sample R2-hacking in return predictability monitoring

Yae, James; Luo, Yang - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28

from empirical properties that appear only in the test sample. Using ensemble machine learning techniques, we create a …

Persistent link: https://www.econbiz.de/10014364026

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