arXiv
Open Access
2023
Stock Price Predictability and the Business Cycle via Machine Learning
Li Rong Wang
Hsuan Fu
Xiuyi Fan
Abstrak
We study the impacts of business cycles on machine learning (ML) predictions. Using the S&P 500 index, we find that ML models perform worse during most recessions, and the inclusion of recession history or the risk-free rate does not necessarily improve their performance. Investigating recessions where models perform well, we find that they exhibit lower market volatility than other recessions. This implies that the improved performance is not due to the merit of ML methods but rather factors such as effective monetary policies that stabilized the market. We recommend that ML practitioners evaluate their models during both recessions and expansions.
Penulis (3)
L
Li Rong Wang
H
Hsuan Fu
X
Xiuyi Fan
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2023
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓