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
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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 |
DOI | 10.1145/3314545.3314546 |
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 | |
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. |
条目包含的文件 | 条目无相关文件。 |
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