A statistical learning approach for stock selection in the Chinese stock market

A statistical learning approach for stock selection in the Chinese stock market

Abstract Forecasting stock returns is extremely challenging in general, and this task becomes even more difficult given the turbulent nature of the Chinese stock market. We address the stock selection process as a statistical learning problem and build cross-sectional forecast models to select indiv...

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Bibliographic Details
Main Authors: Wenbo Wu, Jiaqi Chen, Liang Xu, Qingyun He, Michael L. Tindall
Format: Article
Language:English
Published: SpringerOpen 2019-04-01
Series:Financial Innovation
Subjects:
Stock selection
Stock return prediction
Statistical learning
Lasso
Elastic net
Online Access:http://link.springer.com/article/10.1186/s40854-019-0137-1

Internet

http://link.springer.com/article/10.1186/s40854-019-0137-1

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