Deep Learning for Forecasting Stock Returns in the Cross-Section

Many studies have been undertaken by using machine learning techniques, including neural networks, to predict stock returns. Recently, a method known as deep learning, which achieves high performance mainly in image recognition and speech recognition, has attracted attention in the machine learning field. This paper implements deep learning to predict one-month-ahead stock returns in the cross-section in the Japanese stock market and investigates the performance of the method. Our results show that deep neural networks generally outperform shallow neural networks, and the best networks also outperform representative machine learning models. These results indicate that deep learning shows promise as a skillful machine learning method to predict stock returns in the cross-section.Comment: 12 pages, 2 figures, 8 tables, accepted at PAKDD 201

Machine learning to analyze single-case data : a proof of concept

Visual analysis is the most commonly used method for interpreting data from singlecase designs, but levels of interrater agreement remain a concern. Although structured aids to visual analysis such as the dual-criteria (DC) method may increase interrater agreement, the accuracy of the analyses may still benefit from improvements. Thus, the purpose of our study was to (a) examine correspondence between visual analysis and models derived from different machine learning algorithms, and (b) compare the accuracy, Type I error rate and power of each of our models with those produced by the DC method. We trained our models on a previously published dataset and then conducted analyses on both nonsimulated and simulated graphs. All our models derived from machine learning algorithms matched the interpretation of the visual analysts more frequently than the DC method. Furthermore, the machine learning algorithms outperformed the DC method on accuracy, Type I error rate, and power. Our results support the somewhat unorthodox proposition that behavior analysts may use machine learning algorithms to supplement their visual analysis of single-case data, but more research is needed to examine the potential benefits and drawbacks of such an approach