Stock selection strategy of A-share market based on rotation effect and random forest

DOI10.3934/math.2020293zbMath1484.91523OpenAlexW3026075266MaRDI QIDQ2129833

Jinyun Zhu, Meiru Zhong, Zhicen Lin, Shuai Wang, Zhong Yan Li

Publication date: 25 April 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2020293

zbMATH Keywords

random forestsA-share marketmultiple-factor stock selection modelquantitative investmentshift of large cap stocks stylesmall cap stocks style

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; risk measures (91G70)

Related Items (1)

A prediction model for stock market based on the integration of independent component analysis and multi-LSTM

Cites Work

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