Stock selection using support vector machine in Chinese securities exchange

来源 :哈尔滨工业大学学报(英文版) | 被引量 : 0次 | 上传用户:tscy123
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The risk and performance of ST stocks are studied. The SVM method is applied on 100 general stocks and 100 ST stocks selected from the website, and a criterion is gotten to select stocks, then the risk of these sample stocks is analysed. In the performance evaluation, the SVM method is also applied on the 100 general stocks and 100 ST stocks according to the return per share, and 57 stocks which are all + 1 are selected. Their equally weighted return rate is only -0.02%, but equally weighted return rate of 31 general stocks is 13.23%, that of 26 ST stocks is -96.15%. Naturally, we conclude that ST stocks are unsteady and do not deserve long-term investment. From the Chinese fund website, we know that equally weighted return rate of stock fund in 2004 was -3.3%, so the equally weighted return rate of the selected stocks (except ST stocks)is much higher than that of average return rate.
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