图 书 馆
股票选机学习Machine Learning for Stock Selectionp |
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| 课程网址: | http://videolectures.net/kdd07_ling_mlfss/ |
| 主讲教师: | Charles X. Ling |
| 开课单位: | 西安大略大学 |
| 开课时间: | 2007-08-14 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | In this paper, we propose a new method called Prototype Ranking (PR) designed for the stock selection problem. PR takes into account the huge size of real-world stock data and applies a modified competitive learning technique to predict the ranks of stocks. The primary target of PR is to select the top performing stocks among many ordinary stocks. PR is designed to perform the learning and testing in a noisy stocks sample set where the top performing stocks are usually the minority. The performance of PR is evaluated by a trading simulation of the real stock data. Each week the stocks with the highest predicted ranks are chosen to construct a portfolio. In the period of 1978-2004, PR’s portfolio earns a much higher average return as well as a higher risk-adjusted return than Cooper’s method, which shows that the PR method leads to a clear profit improvement. |
| 关 键 词: | 选股问题; 库存等级; 实际库存数据; 风险调整回报率 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-05-09：cjy |
| 阅读次数: | 31 |