Dillon Huddleston

University of Western Ontario - Department of Economics

Social Science Centre, Room 4071

London, Ontario N6A 5C2

Canada

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Intraday Market Predictability: A Machine Learning Approach

Number of pages: 56 Posted: 13 Jan 2021 Last Revised: 10 Mar 2021
Dillon Huddleston, Fred Liu and Lars Stentoft
University of Western Ontario - Department of Economics, University of Western Ontario, Department of Economics and Department of Economics, University of Western Ontario
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Abstract:

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Machine Learning, Return Prediction, High-Frequency, Equity Market, Big Data, Lasso, Elastic Net, Random Forest, Gradient Boosting, Deep Neural Networks, Fintech