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A trend based investment decision approach using clustering and heuristic algorithm

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Science China(Information Sciences) 2014年第9期57卷 204-217页

作者： WU ChungMin CHOU ShengChun LIAW HorngTwu Graduate Institute of Services and Technology Management National Taipei University of Technology Department of Information Management Shih Hsin University

This paper proposes a stock price trend clustering and trend investment decision model by using a genetic algorithm to search for optimal solutions and the best investment strategies for different stock price *** new price trend clustering model identifies three types of stock price movements:uptrends,sideways trends,and ***,trends discovered through stock price movements or technical indicator graphs are typically subjective and *** paper takes daily stock prices and trading volume data from the China Shanghai Stock Exchange Composite Index(SSECI)from January 2,1997 to August31,2012,to examine the performance of the proposed trend clustering *** proposed model is also compared to other popular stock market investment strategies to verify its *** result shows that the proposed trend clustering model correctly identifies three different trends in the stock ***,the trend investment strategy model developed by using genetic algorithm methodology performs better than other investment strategies,namely,Granville’s rule,the KD indicator strategy,the buys and holds strategy,and GMA rules,in both bull and bear market *** results prove the proposed new model to be a stable and valid investment strategy.

关键词： clustering genetic algorithms stock trend investment strategy

Momentum Effect Differs Across Stock Performances:Chinese Evidence

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Acta Mathematicae Applicatae Sinica 2014年第2期30卷 279-288页

作者： Zhao-yuan LI Si-bo LIU Mao-zai TIAN Department of Statistics and Actuarial Science The University of Hong Kong Department of Finance and Insurance Lingnan University Center for Applied Statistics School of StatisticsRenmin University of China School of Statistics Lanzhou University of Finance and Economics

Prior empirical studies find positive and negative momentum effect across the global nations, but few focus on explaining the mixed results. In order to address this issue, we apply the quantile regression approach to analyze the momentum effect in the context of Chinese stock market in this paper. The evidence suggests that the momentum effect in Chinese stock is not stable across firms with different levels of performance. We find that negative momentum effect in the short and medium horizon （3 months and 9 months） increases with the quantile of stock returns. And the positive momentum effect is observed in the long horizon （12 months）, which also intensifies for the high performing stocks. According to our study, momentum effect needs to be examined on the basis of stock returns. OLS estimation, which gives an exclusive and biased result, provides misguiding intuitions for momentum effect across the global nations. Based on the empirical results of quantile regression, effective risk control strategies can also be inspired by adjusting the proportion of assets with past performances.

关键词： chinese stock market investment strategy momentum effect quantile regression

维普期刊数据库

Extremely thin but very robust:Surprising cryptogam trait combinations at the end of the leaf economics spectrum

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Plant Diversity 2024年第5期46卷 621-629页

作者： Tana Wuyun Lu Zhang Tiina Tosens Bin Liu Kristiina Mark JoséÁngel Morales-Sanchez Jesamine Jöneva Rikisahedew Vivian Kuusk Ülo Niinemets Institute of Agricultural and Environmental Sciences Estonian University of Life SciencesKreutzwaldi 1Tartu 51014Estonia College of Landscape and Architecture Zhejiang A&F University666 Wusu StreetHangzhou 311300China Estonian Academy of Sciences Kohtu 6Tallinn 10130Estonia

Leaf economics spectrum(LES)describes the fundamental trade-offs between leaf structural,chemical,and physiological ***,structurally robust thick leaves with high leaf dry mass per unit area(LMA)exhibit lower photosynthetic capacity per dry mass(Amass).Paradoxically,“soft and thinleaved”mosses and spikemosses have very low Amass,but due to minute-size foliage elements,their LMA and its components,leaf thickness(LT)and density(LD),have not been systematically ***,we characterized LES and associated traits in cryptogams in unprecedented details,covering five evolutionarily different *** found that mosses and spikemosses had the lowest LMA and LT values ever measured for terrestrial *** a broad range of species from different lineages,Amass and LD were negatively *** contrast,Amass was only related to LMA when LMA was greater than 14 g cm^(-2).In fact,low Amass reflected high LD and cell wall thickness in the studied *** conclude that evolutionarily old plant lineages attained poorly differentiated,ultrathin mesophyll by increasing *** plant lineages,LD,not LMA,is the trait that represents the trade-off between leaf robustness and physiology in the LES.

关键词： investment strategy Leaf density Leaf structural traits LMA estimation bias Non-seed plants Trait trade-offs

维普期刊数据库

Mobile telecommunication companies’investment and pricing strategies for content service

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Journal of Management Science and Engineering 2024年第3期9卷 440-459页

作者： Zhong-Liang Zhang Chao Zong Weidong Chen Nan Yuan Haiyang Feng College of Management and Economics Tianjin UniversityChina School of Management Science and Engineering Tianjin University of Finance and EconomicsChina Laboratory of Computation and Analytics of Complex Management Systems Tianjin UniversityChina

Several mobile telecommunication companies(MTCs),such as AT&T,Verizon,and China Mobile,are investing in content services to drive continued growth as the telecom industry has become *** this study,we investigate the competition between two MTCs,one of which(MTC 1)provides both data and content services,while the other(MTC 2)provides only data *** propose a two-stage game-theoretic model to analyze the two MTCs'optimal pricing strategies for data service and content service as well as the investment strategy for the content *** analysis reveals that a higher value of value-added service offered by MTC 1 will incentivize it to raise its subscription fee for the content service and induce both MTCs to reduce the prices of their data services,which results in an increased demand for the content service and a decreased demand for MTC 2's data *** MTC 1 invests further in the quality of the content service,it would benefit from increasing the subscription fee for the content service,and the two MTCs should increase the subscription fee for the data ***,compared to the decisions in the scenario where MTC 1 does not provide content service,the provision of this service by MTC 1 leads to a lower subscription fee for the two MTCs'data services,an increase in the demand for MTC 1's data service,and a decrease in the demand for MTC 2's data *** findings reveal that regularly monitoring market competition,as well as adjusting pricing strategies based on market scenarios and the value of services,can enhance competitiveness and long-term profitability for MTCs.

关键词： Mobile telecommunication company Content service Data service investment strategy Pricing strategy

DeepPricing:pricing convertible bonds based on financial time-series generative adversarial networks

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Financial Innovation 2022年第1期8卷 1678-1715页

作者： Xiaoyu Tan Zili Zhang Xuejun Zhao Shuyi Wang Guanghua School of Management Peking UniversityBeijing 100871China Harvest Fund Management Beijing 100020China Department of Mathematics Zhejiang UniversityHangzhou 310027China

Convertible bonds are an important segment of the corporate bond market,however,as hybrid instruments,convertible bonds are difficult to value because they depend on variables related to the underlying stock,the fixed-income part,and the interaction between these ***,embedded options,such as conversion,call,and put provisions are often restricted to certain periods,may vary over time,and are subject to additional path-dependent features of the state ***,the most challenging problem in convertible bond valuation is the underlying stock return process modeling as it retains various complex statistical *** this paper,we propose DeepPricing,a novel data-driven convertible bonds pricing model,which is inspired by the recent success of generative adversarial networks(GAN),to address the above *** method introduces a new financial time-series generative adversarial networks(FinGAN),which is able to reproduce risk-neutral stock return process that retains the unique statistical properties such as the fat-tailed distributions,the long-range dependence,and the asymmetry structure etc.,and then transit to its risk-neutral *** it is more flexible and accurate to capture the dynamics of the underlying stock return process and keep the rich set of real-world convertible bond specifications compared with previous model-driven *** experiments on the Chinese convertible bond market demonstrate the effectiveness of DeepPricing *** with the convertible bond market prices,our model has a better convertible bonds pricing performance than both model-driven models,***-Scholes,the constant elasticity of variance,GARCH,and the state-of-the-art GAN-based models,***-MLP,***,our model has a better fitting capacity for higher-volatility convertible bonds and the overall convertible bond market implied volatility smirk,especially for equity-liked convertible bonds,convertible bonds tr

关键词： Convertible bonds Generative adversarial network Time-series simulation Pricing investment strategy Artificial intelligence

Detecting the lead–lag effect in stock markets:definition,patterns,and investment strategies

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Financial Innovation 2022年第1期8卷 1478-1513页

作者： Yongli Li Tianchen Wang Baiqing Sun Chao Liu School of Economics and Management Harbin Institute of TechnologyHarbin 150001People’s Republic of China School of Business Administration Northeastern UniversityShenyang 110169People’s Republic of China.

Human activities widely exhibit a power-law *** stock trading as a typical human activity in the financial domain,the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this ***,this paper determines that the number of accumulated lead–lag days between stock pairs meets the power-law distribution in both the *** Chinese stock markets based on 10 years of trading *** on this finding this paper adopts the power-law distribution to formally define the lead–lag effect,detect stock pairs with the lead–lag effect,and then design a pure lead–lag investment strategy as well as enhancement investment strategies by integrating the lead–lag strategy into classic alpha-factor *** conducted on 20 different alpha-factor strategies demonstrate that both perform better than the selected benchmark strategy and that the lead–lag strategy provides useful signals that significantly improve the performance of basic alpha-factor *** results therefore indicate that the lead–lag effect may provide effective information for designing more profitable investment strategies.

关键词： Power-law distribution Lead-lag effect Stock market Complex network investment strategy

Franchise Value Change Information of State-owned Commercial Bank and Securities investment Risk

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Journal of Modern Accounting and Auditing 2007年第2期3卷 70-76页

作者： HE Yun-long Management School Changsha University of Science ＆ Technology Changsha 410076 China Accounting School South Western University of Finance and Economics Chengdu 610074 China

The investment strategy choice of state-owned commercial bank is related to its franchise value change information. This paper analyzes the franchise value change information of state-owned commercial bank. The franchise value change information shows that the franchise value of state-owned Commercial Bank is descending. Along with the descending of the franchise value, state-owned commercial bank strengthens its high risk investment motive when it chooses its investment strategy. State-owned commercial bank tends to run the high risk of investing securities because its investment variety is very sparse. Based on the theoretical principle of how to control securities investment risk, this paper proposes some countermeasures and suggestions that state-owned commercial bank strengthen the control of its securities investment risk in order to perfect its investment strategy.

关键词： state-owned commercial bank franchise value change information investment strategy risk management

A生物医药产业基金投资管理有限公司投资策略分析

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A生物医药产业基金投资管理有限公司投资策略分析

作者：岳兴晖兰州大学

学位级别：硕士

In2010, biological medicine industry was identified as strategic new industry. In the future, China's biological medicine industry will face rapid development. Industry layout and adjustment will meet great opportunity. At present, China's biological medicine industry development salient features are:Biological medicine industry in its early, large investment and cycle is long, the risk is high. It need outside capital support. At the same time the existing loans financing, equity financing, mergers restructuring and can't meet the way the development of biological medicine industry needs. So, as a kind of new financing tools development biological medicine industry funds have great practical significance.This paper from the macro environment *** to the biological medicine industry and market detailed analysis, find A company investment opportunities and threats. Then, on A company internal environment are analyzed and summarized the advantages and disadvantages of company A. Finally, Combined with4M pattern on the screening of investment projects and by A company for external, internal factor evaluation matrix. Puts forward A company growth development strategy.This paper investment strategy achievement has reference value to the company A investment direction and improve investment income.

关键词： Biological medicine industry fund investment strategy

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中国私募证券投资基金行业发展现状分析