{"title":"Machine learning style rotation – evidence from the Johannesburg Stock Exchange","authors":"Daniel Page, David McClelland, Christo Auret","doi":"10.1080/23322039.2024.2402893","DOIUrl":null,"url":null,"abstract":"This study evaluates naïve and advanced prediction models when applied to style rotation strategies on the Johannesburg Stock Exchange (‘JSE’). We apply 1- and 3-month style momentum as naïve predi...","PeriodicalId":10379,"journal":{"name":"Cogent Economics & Finance","volume":"16 1","pages":""},"PeriodicalIF":2.0000,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Cogent Economics & Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/23322039.2024.2402893","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
This study evaluates naïve and advanced prediction models when applied to style rotation strategies on the Johannesburg Stock Exchange (‘JSE’). We apply 1- and 3-month style momentum as naïve predi...
期刊介绍：
Cogent Economics & Finance, part of Taylor & Francis / Routledge, is a multidisciplinary open access journal publishing high-quality peer-reviewed research by authors from across the globe. Our inclusive nature ensures we cover the entire scope of economics and finance research – from financial economics to economic philosophy and everything in between, including replication studies – and we make sure this research is visible to everyone, anywhere, any time. Cogent Economics & Finance is headed up by an expert team of Senior Editors who, in keeping with our vision of inclusivity and sharing, evaluate submissions on scholarly merit and research integrity. Manuscripts are never rejected purely on the grounds of perceived importance or impact on the research community; article-level metrics allow the research to be assessed on its own merit.
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