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Asset Return Prediction via Machine Learning

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DOI: 10.4236/jmf.2019.94035    153 Downloads   383 Views
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ABSTRACT

In this paper, we provide insights on the prediction of asset returns via novel machine learning methodologies. Machine learning clustering-enhanced classification and regression techniques to predict future asset return movements are proposed and compared. Numerical experiments show good applicability of the methodologies and backtesting unveils superior results in China A-shares markets.

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Zhang, L. (2019) Asset Return Prediction via Machine Learning. Journal of Mathematical Finance, 9, 691-697. doi: 10.4236/jmf.2019.94035.

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