Research ArticleOpen AccessGoogle Scholar indexed
Asset Return Prediction via Machine Learning
NatWest Markets Securities, Ltd., Stamford, CT, USA
- 1 NatWest Markets Securities, Ltd., Stamford, CT, USA
Journal of Mathematical Finance·Volume 09 (2019)·Pages 691–697·Published 17 October 2019·DOI10.4236/jmf.2019.94035
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Abstract
In this paper, we provide insights on the prediction of asset returns via novel machine learning methodologies. Machine learning clustering-enhanced classification and regression techniques to predict future asset return movements are proposed and compared. Numerical experiments show good applicability of the methodologies and backtesting unveils superior results in China A-shares markets.
KeywordsClusteringClassificationRegressionUnsupervised LearningSupervised LearningDeep Neural NetworksMachine LearningAsset ReturnsPredictionInvestment StrategiesUniversal Approximation Theorem
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