Rank Prediction for Portfolio Management Using Artificial Neural Networks

被引：0
|
作者：
Bae, Jiyoon [1 ]
Sim, Ghudae [1 ]
Yun, Hyungbin [1 ]
Seok, Junhee [1 ]
机构：
[1] Korea Univ, Sch Elect Engn, Seoul, South Korea
来源：
2018 TENTH INTERNATIONAL CONFERENCE ON UBIQUITOUS AND FUTURE NETWORKS (ICUFN 2018) | 2018年
基金：
新加坡国家研究基金会;
关键词：
arfificial neural network; stock market prediction; portfolio management;
D O I：
暂无
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
The rank of equities is often used to determine the investment portfolio instead of prices because ranking is in general believed to be robust. In this paper, we propose a rank prediction method for portfolio management using ANN. While an ANN requires a large dataset to train the model, the sample size is usually insufficient in stock market data. Therefore, the proposed method uses data augmentation and an ensemble ANN model. In the simulation study, the proposed method shows 13 percentage of performance improvement from the other methods to predict the profit rank of equities in South-East Asian market.
引用
收藏
页码：15 / 17
页数：3
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