SSRNTrading, Microstructure & Execution
Trading Costs and Machine-Learning Return Forecasts
Trading-cost aware portfolio construction that reweights holdings by liquidity and trades only when forecasts exceed the bid-ask spread lifts net Sharpe from negative to positive on machine learning predictions.
Featured in No. 135 on 16 Oct 2026 · on release day
- Released
- 16 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7617338
- Authors
- Daniele Bianchi and Teng Jiao
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).