Automated machine learning extends the search space to include hyperparameters and algorithm selection. We apply automated machine learning (AutoML) to cross sectional stock return prediction with factors. We formulate factor dimension reduction and hyperparameter tuning in conventional ML...

Automated machine learning extends the search space to include hyperparameters and algorithm selection. We apply automated machine learning (AutoML) to cross sectional stock return prediction with factors. We formulate factor dimension reduction and hyperparameter tuning in conventional ML...

What predicts returns on assets with "hard-to-value" fundamentals, such as Bitcoin and stocks in new industries? We propose an equilibrium model that shows how rational learning enables return predictability through technical analysis. We document that ratios of prices to their moving averages...