Neuroevolution Neural Architecture Search for Evolving RNNs in Stock Return Prediction and Portfolio Trading
Machine learning return prediction in equities, studied by Lyu and co-authors in 2024 with a recurrent neural network. The abstract mentions a benchmark and the size of the universe but not an out-of-sample test, transaction costs or multiple testing.
“Results show that using these evolved RNNs and a simple daily long-short strategy can generate higher returns than both the DJI index and the S&P 500 Index for both 2022 (bear market) and 2023 (bull market).”
AssetEquitiesindices
StrategyMachine learning
TechniqueRecurrent neural networkfeedforward network
GeographyUS
Also stated: Daily, Long-short, benchmark, universe of 30 companies
Missing from abstract: out-of-sample test, costs, multiple testing
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