Application of Deep Learning for Factor Timing in Asset Management
Factor investing in equities, studied by Panda and co-authors in 2024 with a feedforward neural network. The abstract mentions an out-of-sample test and transaction costs but not a benchmark, multiple testing or the size of the universe.
“However, for flexible models like neural networks, the optimal weights based on their prediction tend to be unstable, which can lead to high transaction costs and market impacts.”
AssetEquities
StrategyFactor investingquality factors
TechniqueFeedforward networktree ensemble
Also stated: out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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