Nonlinear support vector machines can systematically identify stocks with high and low future returns
نویسندگان
چکیده
منابع مشابه
Nonlinear support vector machines can systematically identify stocks with high and low future returns
This paper investigates the profitability of a trading strategy based on training a model to identify stocks with high or low predicted returns. A tail set is defined to be a group of stocks whose volatility-adjusted price change is in the highest or lowest quantile, for example the highest or lowest 5%. Each stock is represented by a set of technical and fundamental features computed using CRS...
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ژورنال
عنوان ژورنال: Algorithmic Finance
سال: 2013
ISSN: 2157-6203,2158-5571
DOI: 10.3233/af-13016