Deep Learning for Short Term Equity Trend Forecasting: A Behavior Driven Multi Factor Approach
A 2025 paper by Luan on factor investing in equities, using a feedforward neural network: the abstract mentions an information ratio, alpha and excess returns and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Empirical evaluation demonstrates that the dual-task MLP achieves superior and stable performance across both predictive accuracy and economic relevance, as measured by information coefficient (IC), information ratio (IR), and portfolio backtesting results.”
AssetEquities
StrategyFactor investingmomentum
TechniqueFeedforward network
ClaimInformation ratioalpha
Missing from abstract: benchmark, out-of-sample test, costs, 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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