Forecasting high-frequency excess stock returns via data analytics and machine learning
(2021)
Journal Article
Akyildirim, E., Nguyen, D. K., Sensoy, A., & Šikić, M. (2023). Forecasting high-frequency excess stock returns via data analytics and machine learning. European Financial Management, 29(1), 22-75. https://doi.org/10.1111/eufm.12345
Borsa Istanbul introduced data analytics to present additional information about its market conditions. We examine whether this product can be utilized via various machine learning methods to predict intraday excess returns. Accordingly, these analyt... Read More about Forecasting high-frequency excess stock returns via data analytics and machine learning.