| Stock selection using support vector machine in Chinese securities exchange |
| |
| 作者姓名： | References： |
| |
| 作者单位： | School of Science Harbin Institute of Technology，School of Management，Harbin Institute of Technology，Harbin 150001，China，School of Science，Harbin Institute of Technology，School of Science，Harbin Institute of Technology，School of Science，Harbin Institute of Technology，School of Management，Harbin Institute of Technology，Harbin 150001，China，Harbin 150001，Harbin 150001，Harbin 150001，Harbin 150001，China |
| |
| 摘 要： | The risk and performance of ST stocks are studied.The SVM method is applied on 100 general stocks and 100 ST stocks selected from the website,and a criterion is gotten to select stocks,then the risk of these sample stocks is analysed.In the performance evaluation,the SVM method is also applied on the 100 general stocks and 100 ST stocks according to the return per share,and 57 stocks which are all 1 are selected.Their equally weighted return rate is only-0.02%,but equally weighted return rate of 31 general stocks is 13.23%,that of 26 ST stocks is-96.15%.Naturally,we conclude that ST stocks are unsteady and do not deserve long-term investment.From the Chinese fund website,we know that equally weighted return rate of stock fund in 2004 was-3.3%,so the equally weighted return rate of the selected stocks(except ST stocks)is much higher than that of average return rate.
|
| 关 键 词： | 证券交易税 中国 支持向量机 股票市场 ST股票 |
| 文章编号： | 1005-9113（2007）03-0378-07 |
| 修稿时间： | 2006-06-15 |
Stock selection using support vector machine in Chinese securities exchange |
| |
| TIAN Bo-ping,GONG Qi,YANG Yu-shu,SHANG Zhi-hui,FENG Ying-jun.Stock selection using support vector machine in Chinese securities exchange[J].Journal of Harbin Institute of Technology,2007,14(3):378-384. |
| |
| Authors: | TIAN Bo-ping GONG Qi YANG Yu-shu SHANG Zhi-hui FENG Ying-jun |
| |
| Abstract: | The risk and performance of ST stocks are studied.The SVM method is applied on 100 general stocks and 100 ST stocks selected from the website,and a criterion is gotten to select stocks,then the risk of these sample stocks is analysed.In the performance evaluation,the SVM method is also applied on the 100 general stocks and 100 ST stocks according to the return per share,and 57 stocks which are all 1 are selected.Their equally weighted return rate is only-0.02%,but equally weighted return rate of 31 general stocks is 13.23%,that of 26 ST stocks is-96.15%.Naturally,we conclude that ST stocks are unsteady and do not deserve long-term investment.From the Chinese fund website,we know that equally weighted return rate of stock fund in 2004 was-3.3%,so the equally weighted return rate of the selected stocks(except ST stocks)is much higher than that of average return rate. |
| |
| Keywords: | ST stock SVM method equally weighted return rate |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
