Establishment and Analysis of Multi-Factor Stock Selection Model Based on Support Vector Machine in CSI 300 Index Constituent Stocks Market

Changsheng Dou, Tengzhe Zhao, Ziheng Guo
2021 Proceedings of the 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021)   unpublished
This paper uses the SVM (support vector machine) method to model the multi-factor stock selection and conducts research in Chinese Stock Market. The CSI 300 Index accounts for about 60% of the market value of Chinese Stock Market, we uses the principal component analysis for dimensionality reduction, reducing the number of original factors to 13, and the cumulative contribution rate reached 78.5372%, which reduced the complexity of SVM classification. In terms of model building, since the
more » ... ng, since the linear SVM method cannot be reasonably classified, this paper uses the radial basic kernel function and then classifies them, and obtains a stock selection model with strong effectiveness, which can beat the benchmark in all test sets. In terms of stock selection, we sort the stocks according to the sample values generated by the prediction of the model, and the reliability of the result obtained was high, which is the innovation of this paper.
doi:10.2991/aebmr.k.210319.139 fatcat:5f2who43dzdzndvnjvlwsg7vua