Stock selection strategy of A-share market based on rotation effect and random forest
Autor: | Zhicen Lin, Jinyun Zhu, Zhongyan Li, Shuai Wang, Meiru Zhong |
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Rok vydání: | 2020 |
Předmět: |
random forests
Rate of return a-share market Investment strategy lcsh:Mathematics General Mathematics lcsh:QA1-939 quantitative investment A share Wheeling Random forest the shift of large cap stocks style and small cap stocks style Economics Econometrics Portfolio Stock market multiple-factor stock selection model Stock (geology) |
Zdroj: | AIMS Mathematics, Vol 5, Iss 5, Pp 4563-4580 (2020) |
ISSN: | 2473-6988 |
Popis: | Due to the random nature of stock market, it is extremely difficult to capture market trends with traditional subjective analysis. Besides, the modeling and forecasting of quantitative investment strategies are not easy. Based on the research of experts and scholars at home and abroad and the rotation effect of large and small styles in China’s A-share market, a stock picking strategy combining wheeling effect and random forest is proposed. Firstly, judge the style trend of the A-share market, that is, the relatively strong style in the large and small-sized market. The strategy first judges the trend of the A-share market style, then uses a multi-factor stock selection model through random forest to select stocks among the constituent stocks of the dominant style index, and buys the selected stocks according to the optimal portfolio weights determined by the principle of minimum variance. The empirical results show that the annualized rate of return of the strategy in the eight years from January 1, 2012 to April 1, 2020 is 3.6% higher than that of the single-round strategy, far exceeding the performance of the CSI 300 Index during the same period. |
Databáze: | OpenAIRE |
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