Quantitative Strategies Based on an Improved K-means Algorithm

被引：0

作者：

Wang, Xinyu ^{[1
]}

Xue, Lian ^{[1
]}

Yu, Ruiyu ^{[1
]}

Wu, Yike ^{[1
]}

Yu, Qunfang ^{[1
]}

机构：

[1] Zhejiang Univ City Coll, Sch Comp & Comp Sci, Hangzhou 310015, Zhejiang, Peoples R China

来源：

PROCEEDINGS OF THE 7TH INTERNATIONAL CONFERENCE ON MANAGEMENT, EDUCATION, INFORMATION AND CONTROL (MEICI 2017) | 2017年 / 156卷

关键词：

An improved K-means algorithm; Rolling stock; Quantitative strategy;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

In this paper, a kind of improved k-clustering stock-picking method is adopted to cluster the 300 indexes of the csi 300 indexes, and investigate the average yield of all kinds, and select the class with the highest average rate of return to be held as our portfolio, thus achieving the excess return. The empirical evidence shows that, using the strategy of this paper to select the stocks and roll it, the excess accumulated yield of the portfolio is better than that of the csi 300.

引用

页码：655 / 658

页数：4