Directional Predictability of Daily Stock Returns
This 2018 paper studies machine learning return prediction in equities using a feedforward neural network over 1996–2003. The abstract mentions alpha, t-statistics, an out-of-sample test and transaction costs but not a benchmark, multiple testing or the size of the universe.
“Moreover, trading strategies based on these forecasts generate positive alpha, even after accounting for transaction costs.”
AssetEquitiesindices
StrategyMachine learning
TechniqueFeedforward network
FrequencyDaily
Also stated: 1996–2003, Alpha, t-statistic, out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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