Machine Learning for Cross-Sectional Return Prediction: A Comparative Study of US and Indian Equities
“None of the models produces statistically significant portfolio returns at the 5% level in either market.”
AssetEquities
StrategyMachine learning
TechniqueFeedforward networktree ensemble
GeographyUSIndia
Also stated: t-statistic, Price and volume, out-of-sample test
Missing from abstract: benchmark, 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.