Statistical learning theory in equity return forecasting

被引：0

作者：

Mulvey, JM ^{[1
]}

Thompson, AJ ^{[1
]}

机构：

[1] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08544 USA

来源：

NEXT WAVE IN COMPUTING, OPTIMIZATION, AND DECISION TECHNOLOGIES | 2005年 / 29卷

关键词：

statistical learning theory; data mining; financial forecasting; financial optimization; market-neutral investing; hedge fund investing;

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：

We apply Mangasarian and Bennett's multi-surface method to the problem of allocating financial capital to individual stocks. The strategy constructs market neutral portfolios wherein capital exposure to long positions equals exposure to short positions at the beginning of each weekly period. The optimization model generates excess returns above the S&P 500, even in the presence of reasonable transaction costs. The trading strategy generates statistical arbitrage for trading costs below 10 basis points per transaction.

引用

页码：213 / 228

页数：16

共 15 条

[1] [Anonymous], 1999, The Nature Statist. Learn. Theory
[2] BENNETT KP, 1992, OPTIMIZATION METHODS, V1, P23, DOI DOI 10.1080/10556789208805504
[3] Bi J., 2003, Journal of Machine Learning Research, V3, P1229, DOI 10.1162/153244303322753643
[4] Bradley P. S., 1998, Machine Learning. Proceedings of the Fifteenth International Conference (ICML'98), P82
[5] Cristianini N., 2000, Intelligent Data Analysis: An Introduction, DOI 10.1017/CBO9780511801389
[6] *DASH OPT INC, XPRESS MP OPT
[7] Friedman J., 2001, The elements of statistical learning, V1, DOI DOI 10.1007/978-0-387-21606-5
[8] A feature selection Newton method for support vector machine classification
Fung, GM
Mangasarian, OL
[J]. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS, 2004, 28 (02) : 185 - 202
[9] HOGAN S, IN PRESS J FINANCIAL
[10] HONG H, 2003, DO IND LEAD STOCK MA

← 1 2 →