Network of Economic Sectors and Return Prediction by CNN-LSTM
“As a result, CNN-LSTM improves prediction accuracy in most sectors of each country, showing the interdependence among assets in the same market.”
AssetEquities
StrategyMachine learning
TechniqueRecurrent neural networkconvolutional network
GeographyEmerging markets
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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