An on-line machine learning return prediction

被引:0
|
作者
Lu, Yueliang [1 ]
Tian, Weidong [2 ,3 ]
机构
[1] Clemson Univ, Clemson, SC USA
[2] Univ North Carolina Charlotte, Charlotte, NC USA
[3] Univ North Carolina Charlotte, Belk Coll Business, Charlotte, NC 28279 USA
关键词
On-line machine learning; Relative retur n predictability; Universal portfolio; Information theory; PORTFOLIO;
D O I
10.1016/j.pacfin.2023.102049
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper introduces a novel methodology for predicting relative asset returns usin g a large dataset. Our approach utilizes on-line universal portfolio construction and generates a closed-form prediction formula based solely on historical data. Ou r results demonstrate that the predictive error can be as low as 2% and is robust. These findings suggest that on-line machine learning techniques have the potential to predict relative asset returns when sufficient data is available.
引用
收藏
页数:20
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