Cheng Zhang

activity

20232026

collaborators

3 papers

econ.EM2026

A Nontrivial Upper Bound on the Out-of-Sample $R^{2}$ in Return Forecasting

Cheng Zhang

This study establishes a nontrivial upper bound on the out-of-sample $R^{2}$ ( $R_{OOS}^{2}$ ) in return forecasting. In particular, we define a coin-flip oracle model that, under…

cs.CE2024

Movement Prediction-Adjusted Naive Forecast: Is the Naive Baseline Unbeatable in Financial Time Series Forecasting?

Cheng Zhang

In financial time series forecasting, the naive forecast is a notoriously difficult benchmark to surpass because of the stochastic nature of the data. Motivated by this challenge,…

cs.LG2023

1D-CapsNet-LSTM: A Deep Learning-Based Model for Multi-Step Stock Index Forecasting

Cheng Zhang, Nilam Nur Amir Sjarif, Roslina Ibrahim

Multi-step stock index forecasting is vital in finance for informed decision-making. Current forecasting methods on this task frequently produce unsatisfactory results due to the i…

A Nontrivial Upper Bound on the Out-of-Sample R2 in Return Forecasting

Movement Prediction-Adjusted Naive Forecast: Is the Naive Baseline Unbeatable in Financial Time Series Forecasting?

1D-CapsNet-LSTM: A Deep Learning-Based Model for Multi-Step Stock Index Forecasting

A Nontrivial Upper Bound on the Out-of-Sample $R^{2}$ in Return Forecasting