Stock Selection via Nonlinear Multi-Factor Models

Levin, Asriel E.

Neural Information Processing Systems 

This paper discusses the use of multilayer feedforward neural networks forpredicting a stock's excess return based on its exposure to various technical and fundamental factors. To demonstrate the effectiveness of the approach a hedged portfolio which consists of equally capitalized long and short positions is constructed and its historical returns are benchmarked against T-bill returns and the S&P500 index. 1 Introduction

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