We explore the paper “Dynamic Return Dependencies Across Industries: A Machine Learning Approach”, by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou, and then try to improve the results with more sophisticated machine learning approaches.

Originally Published at Alpha Architect:

Machine Learning for Financial Market Prediction — Time Series Prediction With Sklearn and Keras

By Druce Vertes

June 5, 2018

Tags: Research Insights, Machine Learning