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The Journal of Financial Data Science

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The Best of Both Worlds: Forecasting US Equity Market Returns Using a Hybrid Machine Learning–Time Series Approach

Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz and Joseph H. Davis
The Journal of Financial Data Science Spring 2021, 3 (2) 9-20; DOI: https://doi.org/10.3905/jfds.2021.3.2.009
Haifeng Wang
is a senior investment strategist in Vanguard’s Investment Strategy Group in Malvern, PA
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Harshdeep Singh Ahluwalia
is a senior investment strategist in Vanguard’s Investment Strategy Group in Malvern, PA
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Roger A. Aliaga-Díaz
is a principal and regional chief economist for the Americas, and head of portfolio construction at Vanguard in Malvern, PA
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Joseph H. Davis
is a principal and global head of Vanguard’s Investment Strategy Group in Malvern, PA
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Article Information

vol. 3 no. 2 9-20
DOI 
https://doi.org/10.3905/jfds.2021.3.2.009

Published By 
Pageant Media Ltd
Print ISSN 
2640-3943
Online ISSN 
2640-3951
History 
  • Published online May 3, 2021.

Copyright & Usage 
© 2021 Pageant Media Ltd

Author Information

  1. Haifeng Wang
    1. is a senior investment strategist in Vanguard’s Investment Strategy Group in Malvern, PA. (haifeng_wang{at}vanguard.com)
  2. Harshdeep Singh Ahluwalia
    1. is a senior investment strategist in Vanguard’s Investment Strategy Group in Malvern, PA. (harshdeep_singh_ahluwalia{at}vanguard.com)
  3. Roger A. Aliaga-Díaz
    1. is a principal and regional chief economist for the Americas, and head of portfolio construction at Vanguard in Malvern, PA. (roger_aliaga-diaz{at}vanguard.com)
  4. Joseph H. Davis
    1. is a principal and global head of Vanguard’s Investment Strategy Group in Malvern, PA. (joseph_davis{at}vanguard.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Financial Data Science: 3 (2)
The Journal of Financial Data Science
Vol. 3, Issue 2
Spring 2021
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The Best of Both Worlds: Forecasting US Equity Market Returns Using a Hybrid Machine Learning–Time Series Approach
Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz, Joseph H. Davis
The Journal of Financial Data Science Apr 2021, 3 (2) 9-20; DOI: 10.3905/jfds.2021.3.2.009

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The Best of Both Worlds: Forecasting US Equity Market Returns Using a Hybrid Machine Learning–Time Series Approach
Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz, Joseph H. Davis
The Journal of Financial Data Science Apr 2021, 3 (2) 9-20; DOI: 10.3905/jfds.2021.3.2.009
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  • Article
    • Abstract
    • METHODOLOGY
    • APPLYING MACHINE LEARNING TO SHILLER’S FORECASTING REGRESSION
    • COMBINING ML WITH TWO-STEP APPROACH: A HYBRID ML-VAR
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
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