科研成果详情

题名Modeling of the return and risks of investments using different trading strategies
作者
发表日期2019-03-14
会议名称3rd International Conference on Compute and Data Analysis (ICCDA)
会议录名称ACM International Conference Proceeding Series
页码1-5
会议日期14-17, 2019
会议地点Univ Hawaii Maui Coll
摘要

When investing in stocks, companies and individuals are interested in gaining the highest return while controlling risks to a reasonable range. Many advisory companies claim that they excel in predicting the trend of the stock market using machine learning techniques while other investors, such as Warren Buffett, hold the view that money is made by investing and the best strategy is to buy and hold, but don't watch too closely. Here we use SPY and TQQQ in the Year 2016 and 2017, two of the most closely watched, commonly discussed and invested stocks, as an example to explore these options. We compare four different strategies, including buy and hold, no investment, machine learning prediction, and random guess. Our result shows that buy and hold is the best strategy in when investing in TQQQ, although prediction by machine learning achieves reasonable accuracy in predicting the trend, which is consistent with the suggestion for long-term investment from Warren Buffet. When investing in SPY, machine learning approach works similarly to the buy and hold strategy. Both strategies outperform the random guess strategy. Moreover, investing in either of the stocks will likely outperform no investment in a 3-month period that we tested. The application of such strategies in different scenarios is further discussed.

关键词Buy and hold Machine learning Stock investment
DOI10.1145/3314545.3314546
URL查看来源
收录类别CPCI-S
语种英语English
WOS研究方向Computer Science
WOS类目Computer Science ; Theory & Methods
WOS记录号WOS:000473801900001
Scopus入藏号2-s2.0-85064955647
引用统计
被引频次:10[WOS]   [WOS记录]     [WOS相关记录]
文献类型会议论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/6248
专题北师香港浸会大学
作者单位
1.University of Leeds,Leeds,LS2 9JT,United Kingdom
2.Beijing Normal University,Hong Kong Baptist University,United International College,Zhuhai, Guangdong,2000 Jintong Road, Tangjiawan,China
3.Imperial College London,South Kensington Campus,London,SW7 2AZ,United Kingdom
推荐引用方式
GB/T 7714
Sun, Xiaoyu,Yuan, Maocheng,Feng, Jinhua. Modeling of the return and risks of investments using different trading strategies[C], 2019: 1-5.
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