Multi-Factor Timing with Deep Learning
“This dynamic multi-task neural network outperforms all benchmarks in terms of predictive accuracy and economic gains.”
AssetEquities
StrategyFactor investingmacro signals
TechniqueFeedforward network
ClaimExcess returnprofit
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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