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Has Machine Learning Defeated Trend Following Strategies in the Chinese Futures Market

Machine learning models, especially Multilayer Perceptron (MLP), excel in predicting returns in the Chinese commodity futures market, due to their ability to identify complex patterns and use both volume and price data.

Featured in No. 46 on 24 Apr 2024 · 2 days after release · 0 citations today

Released
22 Apr 2024
First featured
No. 46 · 24 Apr 2024
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Identifier
SSRN 4802493

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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