Page, Daniel; McClelland, David; Auret, Christo - In: Cogent Economics & Finance 12 (2024) 1, pp. 1-15
This study evaluates näive 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 näive predictors against three tree-based machine learning ('ML') algorithms (advanced predictors),...