Machine learning method for return direction forecasting of Exchange Traded Funds using classification and regression models
利用分类与回归模型预测交易所交易基金收益方向
This article aims to propose and apply a machine learning method to analyze the direction of returns from Exchange Traded Funds (ETFs) using the historical return data of its components, helping to make investment strategy decisions through a trading algorithm. In methodological terms, regression and classification models were applied, using standard datasets from Brazilian and American markets, in addition to algorithmic error metrics. In terms of research results, they…