Multifactor Timing with Deep Learning
“This dynamic MT 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
Institutional-grade audit of this strategy.
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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.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
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| Multifactor Explanations of Asset Pricing Anomalies by Fama and French | 1996 | ||||
| Intraday Stock Predictability Everywhere by Liu and Stentoft | 2023 | ||||
| A Deep Multi-Factor Framework for Cross-Sectional Stock Return Ranking via Market-State Attention Pooling by Wu and Liu | 2026 |