Related papers: Stock Price Predictability and the Business Cycle …
Understanding the business cycle is crucial for building economic stability, guiding business planning, and informing investment decisions. The business cycle refers to the recurring pattern of expansion and contraction in economic activity…
Machine learning algorithms can now outperform classic economic models in predicting quantities ranging from bargaining outcomes, to choice under uncertainty, to an individual's future jobs and wages. Yet this predictive accuracy comes at a…
The literature on using yield curves to forecast recessions customarily uses 10-year--three-month Treasury yield spread without verification on the pair selection. This study investigates whether the predictive ability of spread can be…
Based on evidence gathered from a newly built large macroeconomic data set for the UK, labeled UK-MD and comparable to similar datasets for the US and Canada, it seems the most promising avenue for forecasting during the pandemic is to…
We investigate the effectiveness of different machine learning methodologies in predicting economic cycles. We identify the deep learning methodology of Bi-LSTM with Autoencoder as the most accurate model to forecast the beginning and end…
Sophisticated machine learning (ML) models to inform trading in the financial sector create problems of interpretability and risk management. Seemingly robust forecasting models may behave erroneously in out of distribution settings. In…
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…
This paper tries to address the problem of stock market prediction leveraging artificial intelligence (AI) strategies. The stock market prediction can be modeled based on two principal analyses called technical and fundamental. In the…
We use multi-class machine learning classifiers to identify the stocks that outperform or underperform other stocks. The resulting long-short portfolios achieve annual Sharpe ratios of 1.67 (value-weighted) and 3.35 (equal-weighted), with…
The US stock market experienced instability following the recession (2007-2009). COVID-19 poses a significant challenge to US stock traders and investors. Traders and investors should keep up with the stock market. This is to mitigate risks…
Machine learning (ML) is the field of training machines to achieve high level of cognition and perform human-like analysis. Since ML is a data-driven approach, it seemingly fits into our daily lives and operations as well as complex and…
Quantitative models are an important decision-making factor for policy makers and investors. Predicting an economic recession with high accuracy and reliability would be very beneficial for the society. This paper assesses machine learning…
To predict the future movements of stock markets, numerous studies concentrate on daily data and employ various machine learning (ML) models as benchmarks that often vary and lack standardization across different research works. This paper…
Non-neural Machine Learning (ML) and Deep Learning (DL) models are often used to predict system failures in the context of industrial maintenance. However, only a few researches jointly assess the effect of varying the amount of past data…
Thanks to the increasing availability of granular, yet high-dimensional, firm level data, machine learning (ML) algorithms have been successfully applied to address multiple research questions related to firm dynamics. Especially supervised…
Forecasting cryptocurrencies as a financial issue is crucial as it provides investors with possible financial benefits. A small improvement in forecasting performance can lead to increased profitability; therefore, obtaining a realistic…
Even at the beginning of 2008, the economic recession of 2008/09 was not being predicted. The failure to predict recessions is a persistent theme in economic forecasting. The Survey of Professional Forecasters (SPF) provides data on…
How effective are the most common trading models? The answer may help investors realize upsides to using each model, act as a segue for investors into more complex financial analysis and machine learning, and to increase financial literacy…
We inspect how accurate machine learning (ML) is at forecasting realized variance of the Dow Jones Industrial Average index constituents. We compare several ML algorithms, including regularization, regression trees, and neural networks, to…
The stock market has been established since the 13th century, but in the current epoch of time, it is substantially more practicable to anticipate the stock market than it was at any other point in time due to the tools and data that are…