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題名：Building Multi-Factor Stock Selection System Using Mixture Design and Neural Networks
書刊名：數據分析
作者：Yeh, I-cheng／Hsu, Tzu-kuang／Yen, Jeng-xiang／Tsai, Chin-chang
出版日期：2018
卷期：13:4
頁次：頁1-27
主題關鍵詞：Stock market；Stock selection；Multi-factor model；Design of experiment；Neural network；Optimization
原始連結：連回原系統網址new window
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  • 點閱點閱:5
期刊論文
1.van der Hart, Jaap、Slagter, Erica、van Dijk, Dick(2003)。Stock selection strategies in emerging markets。Journal of Empirical Finance，10(1/2)，105-132。  new window
2.Mohanram, P. S.(2005)。Separating winners from losers among low book-to-market stocks using financial statement analysis。Review of Accounting Studies，10(2/3)，133-170。  new window
3.Cao, Q.、Leggio, K. B.、Schniederjans, M. J.(2005)。A Comparison between Fama and French's Model and Artificial Neural Networks in Predicting the Chinese Stock Market。Computers and Operations Research，32(10)，2499-2512。  new window
4.Hadavandi, E.、Shavandi, H.、Ghanbari, A.(2010)。Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting。Knowledge-Based Systems，23(8)，800-808。  new window
5.Eakins, S. G.、Stansell, S. R.(2003)。Can value-based stock selection criteria yield superior risk-adjusted returns: an application of neural networks。International Review of Financial Analysis，12(1)，83-97。  new window
6.Hong, Harrison、Lim, Terence、Stein, Jeremy C.(2000)。Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies。Journal of Finance，55(1)，265-295。  new window
7.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics，9(1)，3-18。  new window
8.Olson, D.、Mossman, C.(2003)。Neural network forecasts of Canadian stock returns using accounting ratios。International Journal of Forecasting，19(3)，453-465。  new window
9.Atsalakis, George S.、Valavanis, Kimon P.(2009)。Surveying stock market forecasting techniques--Part II: Soft computing methods。Expert Systems with Applications，36(3)，5932-5941。  new window
10.Guerard, J. B. Jr.、Markowitz, H.、Xu, G. L.(2015)。Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management。International Journal of Forecasting，31(2)，550-560。  new window
11.Ren, N.、Zargham, M.、Rahimi, S.(2006)。A Decision Tree-Based Classification Approach to Rule Extraction for Security Analysis。International Journal of Information Technology and Decision Making，5(1)，227-240。  new window
12.Roko, I.、Gilli, M.(2008)。Using economic and financial information for stock selection。Computational Management Science，5(4)，317-335。  new window
13.Yeh, I-Cheng、Hsu, Tzu-Kuang(2011)。Growth Value Two-Factor Model。Journal of Asset Management，11(6)，435-451。  new window
14.Holthausen, Robert W.、Larcker, David F.(1992)。The Prediction of Stock Returns Using Financial Statement Information。Journal of Accounting and Economics，15(2/3)，373-411。  new window
15.Sorensen, E. H.、Miller, K. L.、Ooi, C. K.(2000)。The Decision Tree Approach to Stock Selection。Journal of Portfolio Management，27(1)，42-53。  new window
16.Durán-Vázquez, R.、Lorenzo-Valdés, A.、Castillo-Ramírez, C. E.(2014)。Effectiveness of corporate finance valuation methods: Piotroski score in an Ohlson model: the case of Mexico。Journal of Economics Finance and Administrative Science，19(37)，104-107。  new window
17.Huang, C. F.(2012)。A hybrid stock selection model using genetic algorithms and support vector regression。Applied Soft Computing，12(2)，807-818。  new window
18.Huang, Chien-Feng、Hsieh, Tsung-Nan、Chang, Bao Rong、Chang, Chih-Hsiang(2014)。A study of risk-adjusted stock selection models using genetic algorithms。Engineering Computations，31(8)，1720-1731。  new window
19.Kang, J.、Ding, D.(2005)。Value and Growth Investing in Asian Stock Markets 1991-2002。Research in Finance，22，113-139。  new window
20.Kim, S.、Lee, C.(2014)。Implementability of trading strategies based on accounting information: Piotroski (2000) revisited。European Accounting Review，23(4)，553-558。  new window
21.Liu, Y. C.、Yeh, I. C.(2017)。Using mixture design and neural networks to build stock selection decision support systems。Neural Computing and Applications，28(3)，521-535。  new window
22.Moreno, D.、Olmeda, I.(2007)。Is the predictability of emerging and developed stock markets really exploitable?。European Journal of Operational Research，182(1)，436-454。  new window
23.Ponsich, A.、Jaimes, A. L.、Coello, C. A. C.(2013)。A survey on multiobjective evolutionary algorithms for the solution of the portfolio optimization problem and other finance and economics applications。IEEE Transactions on Evolutionary Computation，17(3)，321-344。  new window
24.Yeh, I. C.、Cheng, W. L.(2010)。First and second order sensitivity analysis of MLP。Neurocomputing，73(10)，2225-2233。  new window
25.Yeh, I. C.、Lien, C. H.(2017)。Growth and value hybrid valuation model based on mean reversion。Applied Economics，49(50)，5092-5116。  new window
26.Zhang, R.、Lin, Z. A.、Chen, S.、Zhao, M.、Yuan, M.(2018)。Adaboost-SVM Multi-Factor Stock Selection Model Based on Adaboost Enhancement。International Journal of Statistics and Probability，7(5)，9-18。  new window
27.Asness, Clifford S.、Moskowitz, Tobias J.、Pedersen, Lasse H.(2013)。Value and Momentum Everywhere。Journal of Finance，68(3)，929-985。  new window
28.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。  new window
29.Piotroski, Joseph D.(2000)。Value Investing: the Use of Historical Financial Statement Information to Separate Winners from Losers。Journal of Accounting Research，38(1)，1-41。  new window
30.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance，40(3)，793-805。  new window
31.Fama, Eugene F.、French, Kenneth R.(1998)。Value Versus Growth: The International Evidence。The Journal of Finance，53(6)，1975-1999。  new window
圖書
1.Montgomery, D. C.(2012)。Design and Analysis of Experiments。John Wiley and Sons。  new window
2.Nocedal, J.、Wright, S. J.(1999)。Numerical Optimization。New York, NY：Springer。  new window
3.Haykin, S.(2008)。Neural Networks and Learning Machines。Pearson Prentice Hall。  new window
4.Bodie, Z.、Kane, A.、Marcus, A. J.(2011)。Investment and portfolio management。New York：McGraw-Hill Irwin。  new window
5.Myers, R. H.、Montgomery, D. C.(2008)。Response Surface Methodology。New York：John Wiley and Sons, Inc.。  new window
6.Qian, E. E.、Hua, R. H.、Sorensen, E. H.(2007)。Quantitative equity portfolio management: modern techniques and applications。Chapman and Hall/CRC。  new window
 
 
 
 
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