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Stock Fundamentals Model Based on Genetic Algorithm-Rough Set

Author

Listed:
  • Weizhong Jiang
  • Xi Xie

Abstract

Security investment problems are mostly highly-nonlinear and have huge operations, hence quantitative investment is applied to make decisions frequently. Considering the example of Medicine plate in Chinese stocks, fundamental indicators and technical indicators are combined, and then investment decisions are made and optimized stepwise based on rough set model, where generical gorithm is applied to solve the model, aiming at searching for a portfolio with high value and growth inside the whole medicine plate. In addition, such strategy elements as trend and goodness are considered in the prediction, evaluation and correction of the model, resulting in lower uncertainty of index selection. In the empirical example, with the use of the improved model, stock rankings inside the plate achieve an accuracy of 60.7%, which proves the model makes sense to some extent in the security investment.

Suggested Citation

  • Weizhong Jiang & Xi Xie, 2016. "Stock Fundamentals Model Based on Genetic Algorithm-Rough Set," Journal of Management and Sustainability, Canadian Center of Science and Education, vol. 6(1), pages 206-218, March.
    • Handle: RePEc:ibn:jmsjnl:v:6:y:2016:i:1:p:206-218
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    References listed on IDEAS

    as
    1. Frankel, Richard & Lee, Charles M. C., 1998. "Accounting valuation, market expectation, and cross-sectional stock returns," Journal of Accounting and Economics, Elsevier, vol. 25(3), pages 283-319, June.
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    More about this item

    Keywords

    quantitative investment; fundamental analysis; genetic algorithm; adaptive optimization; rough set;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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