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Document details - A new stock selection model based on Multi-class Support Vector Machine
Journal Volume 7, Issue 4, July - August 2018, Article 9032038 QianshengZhang, JingruZhang, ZishengChen, MiaoZhang, SongyingLi , "
A new stock selection model based on Multi-class Support Vector Machine " , International Journal of Emerging Trends & Technology in Computer Science (IJETTCS) ,
Volume 7, Issue 4, July - August 2018 , pp.
010-015 , ISSN 2278 - 6856.
A new stock selection model based on Multi-class Support Vector Machine
Abstract: This paper presents a new stock selection model
based on multi-class support vector machine by employing
kernel principal component analysis to avoid the risk of
speculation and gain the excess return. First, an initial
stock pool is choosed according to the industry rotation
theory. Then the stock selection index system is
constructed based on factor analysis of stock financial
indicators and market indicators. Finally, the empirical
experiment shows that the proposed stock selection model
greatly improves operational efficiency and prediction
accuracy for incomplete China’s stock market.
Keywords: Stock selection model, Kernel Principal
Component Analysis , Multi-class Support Vector Machine