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Open Access

Peer-reviewed

Research Article

Predicting stock returns using machine learning combined with data envelopment analysis and automatic feature engineering: A case study on the Vietnamese stock market

Hoang Thanh Nhon,

Roles Conceptualization, Data curation, Investigation, Methodology, Project administration, Writing – original draft

Affiliation Faculty of Commerce, Van Lang University, Ho Chi Minh City, Vietnam
⨯
Nga Do-Thi,

Roles Writing – original draft, Writing – review & editing

Affiliation Account Manager, VNPT Bussiness Center, Ho Chi Minh City, Vietnam
⨯
Thao Nguyen-Trang

Roles Conceptualization, Formal analysis, Methodology, Supervision, Validation, Visualization, Writing – original draft

* E-mail: thao.nguyentrang@vlu.edu.vn

Affiliations Laboratory for Artificial Intelligence, Institute for Computational Science and Artificial Intelligence, Van Lang University, Ho Chi Minh City, Vietnam, Faculty of Information Technology, Van Lang School of Technology, Van Lang University, Ho Chi Minh City, Vietnam

https://orcid.org/0000-0003-2635-5371

⨯

Predicting stock returns using machine learning combined with data envelopment analysis and automatic feature engineering: A case study on the Vietnamese stock market

Hoang Thanh Nhon,
Nga Do-Thi,
Thao Nguyen-Trang

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Published: September 25, 2025
https://doi.org/10.1371/journal.pone.0332154

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