Does CNN-Based Feature Extraction Improve High-Frequency Return Prediction? Evidence from the CSI 300 Index
“The dual-branch fusion architecture, which retains both the raw and CNN-compressed sequence branches, consistently outperforms the pure CNN hybrid on MAE, RMSE, and IC for LSTM and GRU-based models, indicating that the raw sequence carries complementary predictive information that the CNN front-end discards.”
AssetEquitiesindices
StrategyMachine learning
TechniqueRecurrent neural networkfeedforward network
GeographyChina
Also stated: Intraday, Excess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
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.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Incorporating Price Limits into Deep Learning for Stock Return Prediction in the Chinese A-Share Market by Fan and Wang | 2026 | ||||
| Spatiotemporal Signals in Residuals: A Two-Stage Boosting Graph Neural Network for Stock Return Prediction by Liu et al. | 2026 | ||||
| Machine Learning for Cross-Sectional Return Prediction: A Comparative Study of US and Indian Equities by Khatu | 2026 | ||||
| Empirical Asset Pricing via Machine Learning: Evidence from Indian Equity Markets by Sharma | 2026 | ||||
| Stock Return Prediction Guided by a Revised Random Walk Hypothesis: Adaptive Information Smoothing and Signed Correlation-Aware TimeMixing by Seo and Yang | 2026 |