Affiliations: Unit 2, Building 3, Company Staff Quarters of China Construction Seventh Bureau, No. 108 Chengdong Road, Zhengzhou, Henan 450000, China | E-mail: [email protected]
Correspondence:
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Corresponding author: Unit 2, Building 3, Company Staff Quarters of China Construction Seventh Bureau, No. 108 Chengdong Road, Zhengzhou, Henan 450000, China. E-mail: [email protected].
Abstract: Quantitative investment can manage enterprise assets better to obtain higher revenues. This paper analyzed quantitative investment prediction using machine learning algorithms. First, the support vector machine (SVM) algorithm was introduced, and stock changes were predicted by the SVM algorithm. Then, the feature factors in stock data were extracted by maximum information coefficient (MIC) as the input of the SVM algorithm. Finally, the performance and backtest results of the SVM algorithm was analyzed. It was found that the SVM algorithm had a good performance, and its F1-score was 0.9884, which was better than C4.5 and random forest algorithms. In terms of backtesting, the portfolio built based on the prediction results of the SVM algorithm obtained a higher annualized return rate when the number of stocks was small; when the number of stocks was 10, the portfolio built based on the SVM algorithm had an annualized return rate of 83.67%, a smaller maximum retracement, and a higher Sharpe ratio than the other algorithms, which balanced the risk and return well. The results demonstrate the reliability of the SVM algorithm in predicting quantitative investment, which is beneficial to achieving the optimization of enterprise asset management.
Keywords: Machine learning, quantitative investment, asset management, support vector machine, maximum retracement
