Forecasting benchmarks of long-term stock returns via machine learning

DOI10.1007/S10479-019-03338-4MaRDI QIDQ829145zbMATH OpenOpenAlexWikidataFDO

Authors Ioannis Kyriakou, P. Mousavi, Jens Perch Nielsen, Michael Scholz

Publication date 5 May 2021

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10479-019-03338-4

zbMATH Keywords

predictioncross-validationbenchmarkstock returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Learning and adaptive systems in artificial intelligence (68T05) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

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Cites work

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• Nonparametric long term prediction of stock returns with generated bond yields
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• Nonparametric regression for locally stationary time series
• Performance measurement of pension strategies: a case study of Danish life-cycle products
• Prediction of Stock Returns: A New Way to Look at It
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Cited in

(6)

• Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction
• Early box office prediction in China's film market based on a stacking fusion model
• Nonparametric long term prediction of stock returns with generated bond yields
• Forecasting high-frequency stock returns: a comparison of alternative methods
• Machine learning techniques for cross-sectional equity returns' prediction
• Statistical methods for decision support systems in finance: how Benford's law predicts financial risk

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