I've written a new paper where I'm proposing methodological improvements to neural network training. I have simulation data and empirical results in financial markets to backup my algorithm. I'm now looking for a journal to submit my paper. Initially, I've thought of submitting to a finance journal and have tried Quantitative Finance but was rejected. The nature of the comments from one of the reviewers suggest to me that perhaps he/she didn't understand my paper. Where should I try next? Should I try other computational/empirical finance journals or should I target an application-heavy machine learning journal?
Regardless of your specific context, there are tools that may help you with finding appropriate journals based on your paper's Title and Abstract.
For instance, if you want to publish in an Open Access (OA) journal, you can paste your Abstract here and to get recommendations for topically suitable OA journals: https://ojm.ocert.at/
Publishers likewise provide similar tools, such as:
You may not like this answer but if you do not know which journals are relevant for your work you have not read enough literature and your paper is probably not ready to be published.
You need to inform yourself about what other reasearchers have done already, what the current state of the art is for the neural networks and in the financial market of interest, and add references to relevant articles to place your research in this context.
If it turns out that, for example, 10 out of the 30 references you found are from the same journal than that journal could be a good candidate to submit to.