Machine learning techniques for cross-sectional equity returns' prediction

DOI10.1007/S00291-022-00693-WMaRDI QIDQ6103196zbMATH OpenOpenAlexFDO

Authors Christian Fieberg, Daniel Metko, Thorsten Poddig, Thomas Loy

Publication date 26 June 2023

Published in OR Spectrum (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00291-022-00693-w

zbMATH Keywords

machine learningfinancestock return prediction

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 823069 (Why is no real title available?)
• Approximation by superpositions of a sigmoidal function
• Common risk factors in the returns on stocks and bonds
• Deep learning
• Factor-based imputation of missing values and covariances in panel data of large dimensions
• Forecasting benchmarks of long-term stock returns via machine learning
• Handbook of economic forecasting. Volume 1
• Multilayer feedforward networks are universal approximators
• Random forests
• Tunability: importance of hyperparameters of machine learning algorithms
• What are the best liquidity proxies for global research?

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(3)

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