Machine learning return prediction

153 papers on machine learning return prediction as a systematic trading strategy. Return and price prediction with machine learning: neural networks, trees, transformers, reinforcement learning.

Also searched as: machine learning stock prediction, deep learning return forecasting, neural networks in trading, reinforcement learning trading

Papers1532006–2026

Share of the family100 %153 of 153

Asset

Method

Papers by yearMachine learning return prediction

Related familiespapers shared with this family

News sentiment and text signals23 Momentum and trend following5 Portfolio optimization4

Most cited in each asset	cited by	asset
Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability by Avramov et al.Equities	228	Equities	2023
A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection by Wu et al.Asset not named	114	Asset not named	2021
Predicting Corporate Bond Returns: Merton Meets Machine Learning by Bali et al.Bonds and credit	23	Bonds and credit	2020
Cryptocurrency return prediction: A machine learning analysis by Li et al.Crypto	4	Crypto	2024
A Sentiment-Enhanced Hybrid Model for Crude Oil Price Forecasting by Fang et al.Commodities	2	Commodities	2022
Return Predictability and Market Sentiment: Evidence from Deep Learning by KhanVolatility and options	1	Volatility and options	2022

Latest additions	asset
Spatiotemporal Signals in Residuals: A Two-Stage Boosting Graph Neural Network for Stock Return Prediction by Liu et al.Equities	Equities	2026
Machine Learning for Cross-Sectional Return Prediction: A Comparative Study of US and Indian Equities by KhatuEquities	Equities	2026
Empirical Asset Pricing via Machine Learning: Evidence from Indian Equity Markets by SharmaEquities	Equities	2026
Information Diffusion and Return Predictability across Business and Ownership Networks: Evidence from Korea by Lee and LimAsset not named	Asset not named	2026
DistillSem: LLM-Distilled Financial Headline Semantics for Cross-Sectional Return Prediction by GuoEquities	Equities	2026

Assets with their own page

117 papers

Machine learning return prediction in equities	106
Machine learning return prediction in crypto	11

Machine learning return prediction in commodities

4 papers

	cited by	method
A Geometric Analysis of Conditional Density Estimation by Su	0	Neural networks	2026
Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction by Dai et al.	0	Language models	2026
ENSO Signals and Out-of-Sample Predictability in Soft Commodity Futures by Apte	0	Tree ensembles	2026
A Sentiment-Enhanced Hybrid Model for Crude Oil Price Forecasting by Fang et al.	2	Language models +1	2022

Machine learning return prediction in bonds and credit

4 papers

	cited by	method
Improving Deep Learning of Alpha Term Structures from the Order Book by Kolm and Westray	1	Neural networks	2024
Predicting Individual Corporate Bond Returns by He et al.	10	Tree ensembles	2023
Predicting Corporate Bond Returns: Merton Meets Machine Learning by Bali et al.	23		2020
Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach by Fan et al.	3	Linear factor models +1	2020

Machine learning return prediction in volatility and options

3 papers

	cited by	method
Binocular Directional Forecasting: A Cross-Attention Fusion Approach by Yuan and Zhao	0	Neural networks	2026
Option-Implied Factors and Deep Learning in Equity Index Return Prediction by Zhou	0	Linear factor models +1	2026
Return Predictability and Market Sentiment: Evidence from Deep Learning by Khan	1	Neural networks	2022

Machine learning return prediction in currencies

1 paper

	cited by	method
Not All News Is Equal: Topic- and Event-Conditional Sentiment from Finetuned LLMs for Aluminum Price Forecasting by Amorin et al.	0	Language models +1	2026

Machine learning return prediction in multi-asset

1 paper

	cited by	method
Deep Learning Architectures for Multi-Asset ETF Return Prediction and Portfolio Allocation: MLP, CNN-GAF, LSTM, GRU, and Ensemble Methods by Mir et al.	0	Neural networks	2026

Machine learning return prediction in real estate

1 paper

	cited by	method
DIRECTIONAL PREDICTION OF INDIAN THEMATIC EQUITY INDICES USING MACHINE LEARNING ENSEMBLE CLASSIFIERS by Arora	0	Tree ensembles +1	2026

Machine learning return prediction, no asset class named

22 papers

	method
(Re-)Imag(in)ing LOB in Jiangsu Province Electricity Market by Xu and Mei	Neural networks	2026
Compute, Complexity, and the Scaling Laws of Return Predictability by Timmermann and Vulicevic	Language models	2026
Daily Market Return Prediction with Transformer by Han et al.	Neural networks	2026
Information Diffusion and Return Predictability across Business and Ownership Networks: Evidence from Korea by Lee and Lim	Language models +1	2026
Patent Connections, Business News and Predictable Returns by Sak and Xie	Language models +1	2026
Quantifying Backtest Overfitting from Information Leakage: A Walk-Forward and Embargo-Based Diagnostic Framework Applied to Deep Learning Return Forecasts by Mir and Shrestha	Neural networks	2026
The Simple Virtue of Complexity: Double Descent in Return Prediction by Huang	Mathematical derivation	2026
Two-Time-Scale Transfer Learning for Market-by-Order Micro-Return Forecasting by Becerra et al.	Classical time series +1	2026
Optimising Battery Energy Storage System Trading via Energy Market Operator Price Forecast by Fabre		2025

13 more

R&D-Agent-Quant: A Multi-Agent Framework for Data-Centric Factors and Model Joint Optimization by Li et al.	1	Language models	2025
Deep Reinforcement Trading with Predictable Returns by Brini and Tantari			2023
Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications by Agakishiev et al.	1	Neural networks	2023
Predicting Returns using Production Networks and MLP by Patel	0	Neural networks	2023
Embedding-based neural network for investment return prediction by Zhu et al.	0	Tree ensembles +1	2022
Energy Price Prediction Integrated with Singular Spectrum Analysis and Long-Short-Term Memory Network Under the Background of Carbon Neutrality by Zhu and WANG	2	Neural networks	2022
Machine Learning and the Implementable Efficient Frontier by Jensen et al.	47		2022
Uncovering Sparsity and Heterogeneity in Firm-Level Return Predictability Using Machine Learning by Evgeniou et al.	12	Linear factor models	2022
A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection by Wu et al.	114	Neural networks	2021
Overlapping Narrative Risk Disclosures and Return Predictability by Bai et al.	2		2021
Bond Risk Premia with Machine Learning by Bianchi et al.	13	Tree ensembles +1	2019
Early Bird Catches the Worm: Predicting Returns Even Before Purchase in Fashion E-commerce by Kedia et al.	11	Bayesian +1	2019
Return Predictability of a Corporate Governance Neural Networks Trading System by Nor and Islam	0	Neural networks	2011

Papers on machine learning return prediction from other families

6 papers

	filed under
AI-Driven Strategic Asset Allocation vs Traditional Mean-Variance Optimization: Evidence from Global Institutional Portfolios by Ngewa	Portfolio optimization	2026
LLM-Gated FinRL: Point-in-Time Risk Auditing for Reinforcement Learning in High-Beta Portfolio Trading by Essono	News sentiment and text signals	2026
Option Return Predictability via Large Language Models by Liu et al.	News sentiment and text signals	2026
Has Machine Learning Defeated Trend Following Strategies in the Chinese Futures Market by Liang	Momentum and trend following	2024
Optimal attention allocation: Picking alpha or betting on beta? by Gu et al.	Portfolio optimization	2023
Portfolio Construction with News Sentiment using a Large Language Model by Zhang	Portfolio optimization	2023