Time-varying neural network for stock return prediction
Machine learning return prediction in equities, studied by Wong and co-authors in 2021 with a feedforward neural network. The abstract mentions an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“We find that during market distress, industry indicators experience an increase in importance at the expense of firm level features.”
AssetEquitiessingle stocks
StrategyMachine learningmomentum
TechniqueFeedforward network
GeographyUS
Also stated: Monthly, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
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