Big data/machine learning
- The Promises and Pitfalls of Machine Learning for Predicting Stock ReturnsEdward Leung, Harald Lohre, David Mischlich, Yifei Shea and Maximilian StrohThe Journal of Financial Data Science April 2021, 3 (2) 21-50; DOI: https://doi.org/10.3905/jfds.2021.1.062
- Neural Networks, the Treasury Yield Curve, and Recession ForecastingMichael Puglia and Adam TuckerThe Journal of Financial Data Science April 2021, 3 (2) 149-175; DOI: https://doi.org/10.3905/jfds.2021.1.061
- Building Cross-Sectional Systematic Strategies by Learning to RankDaniel Poh, Bryan Lim, Stefan Zohren and Stephen RobertsThe Journal of Financial Data Science April 2021, 3 (2) 70-86; DOI: https://doi.org/10.3905/jfds.2021.1.060
- Style Rotation RevisitedJohn Galakis, Ioannis Vrontos and Spyridon VrontosThe Journal of Financial Data Science April 2021, 3 (2) 110-133; DOI: https://doi.org/10.3905/jfds.2021.1.059
- Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits DataHasan FallahgoulThe Journal of Financial Data Science April 2021, 3 (2) 134-148; DOI: https://doi.org/10.3905/jfds.2021.1.058
- A Machine Learning Approach in Regime-Switching Risk Parity PortfoliosA. Sinem Uysal and John M. MulveyThe Journal of Financial Data Science April 2021, 3 (2) 87-108; DOI: https://doi.org/10.3905/jfds.2021.1.057
- Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment PortfoliosJochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan KrügelThe Journal of Financial Data Science April 2021, 3 (2) 51-69; DOI: https://doi.org/10.3905/jfds.2021.1.056
- The Best of Both Worlds: Forecasting US Equity Market Returns Using a Hybrid Machine Learning–Time Series ApproachHaifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz and Joseph H. DavisThe Journal of Financial Data Science April 2021, 3 (2) 9-20; DOI: https://doi.org/10.3905/jfds.2021.3.2.009
- Machine Learning Algorithms to Classify Future Returns Using Structured and Unstructured DataJoshua Livnat and Jyoti SinghThe Journal of Investing March 2021, 30 (3) 62-78; DOI: https://doi.org/10.3905/joi.2021.1.169
- Hierarchical Clustering-Based Asset AllocationThomas RaffinotThe Journal of Portfolio Management December 2017, 44 (2) 89-99; DOI: https://doi.org/10.3905/jpm.2018.44.2.089
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