Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
“The experimental results indicate that the PSO-optimized version of the hybrid ARFIMA-WLLWNN outperforms the LLWNN, WLLWNN, ARFIMA-LLWNN, and the ARFIMA-HYAPARCH models and provides more accurate out-of-sample forecasts over validation horizons of one, five and twenty-two days.”
AssetEquitiesindices
StrategyMachine learning
TechniqueFeedforward network
FrequencyDaily
Also stated: Excess return, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
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