{"title":"基于机器学习的美国市场不同时间间隔的定量交易策略","authors":"Yimeng Wang, Keyue Yan","doi":"10.3934/qfe.2023028","DOIUrl":null,"url":null,"abstract":"<abstract><p>Stocks are the most common financial investment products and attract many investors around the world. However, stock price volatility is usually uncontrollable and unpredictable for the individual investor. This research aims to apply different machine learning models to capture the stock price trends from the perspective of individual investors. We consider six traditional machine learning models for prediction: decision tree, support vector machine, bootstrap aggregating, random forest, adaptive boosting, and categorical boosting. Moreover, we propose a framework that uses regression models to obtain predicted values of different moving average changes and converts them into classification problems to generate final predictive results. With this method, we achieve the best average accuracy of 0.9031 from the 20-day change of moving average based on the support vector machine model. Furthermore, we conduct simulation trading experiments to evaluate the performance of this predictive framework and obtain the highest average annualized rate of return of 29.57%.</p></abstract>","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"32 1","pages":"0"},"PeriodicalIF":3.2000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Machine learning-based quantitative trading strategies across different time intervals in the American market\",\"authors\":\"Yimeng Wang, Keyue Yan\",\"doi\":\"10.3934/qfe.2023028\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<abstract><p>Stocks are the most common financial investment products and attract many investors around the world. However, stock price volatility is usually uncontrollable and unpredictable for the individual investor. This research aims to apply different machine learning models to capture the stock price trends from the perspective of individual investors. We consider six traditional machine learning models for prediction: decision tree, support vector machine, bootstrap aggregating, random forest, adaptive boosting, and categorical boosting. Moreover, we propose a framework that uses regression models to obtain predicted values of different moving average changes and converts them into classification problems to generate final predictive results. With this method, we achieve the best average accuracy of 0.9031 from the 20-day change of moving average based on the support vector machine model. Furthermore, we conduct simulation trading experiments to evaluate the performance of this predictive framework and obtain the highest average annualized rate of return of 29.57%.</p></abstract>\",\"PeriodicalId\":45226,\"journal\":{\"name\":\"Quantitative Finance and Economics\",\"volume\":\"32 1\",\"pages\":\"0\"},\"PeriodicalIF\":3.2000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance and Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3934/qfe.2023028\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance and Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3934/qfe.2023028","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Machine learning-based quantitative trading strategies across different time intervals in the American market
Stocks are the most common financial investment products and attract many investors around the world. However, stock price volatility is usually uncontrollable and unpredictable for the individual investor. This research aims to apply different machine learning models to capture the stock price trends from the perspective of individual investors. We consider six traditional machine learning models for prediction: decision tree, support vector machine, bootstrap aggregating, random forest, adaptive boosting, and categorical boosting. Moreover, we propose a framework that uses regression models to obtain predicted values of different moving average changes and converts them into classification problems to generate final predictive results. With this method, we achieve the best average accuracy of 0.9031 from the 20-day change of moving average based on the support vector machine model. Furthermore, we conduct simulation trading experiments to evaluate the performance of this predictive framework and obtain the highest average annualized rate of return of 29.57%.