Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)

Quantitative Investment with Machine Learning in US Equity Market

Authors
Yuxiang Huang
Corresponding Author
Yuxiang Huang
Available Online February 2019.
DOI
10.2991/ssmi-18.2019.55How to use a DOI?
Keywords
Quantitative, machine learning, equity market.
Abstract

Quantitative investment attempts to use computer algorithms to predict the price of securities and make automatic trading, in order to gain excess return on the stocks. This paper introduces a strategy based on machine learning algorithms and technical indicators. The model uses several popular technical indicators as inputs and predicts the movement of stock price after a certain short period. Then, a portfolio is constructed using the prediction result. The strategy buys the stocks whose returns exceed the predetermined threshold and sells (shorts) the stocks whose return are below the negative threshold. The empirical results show that the annual return is above 40%,which is far higher than the S&P500 index(2.14%). Considering the risk-adjusted return, the machine learning strategy is better than the S&P500 index. The Sharpe Ratio is higher than that of the S&P500.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
February 2019
ISBN
978-94-6252-667-9
ISSN
2352-5428
DOI
10.2991/ssmi-18.2019.55How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yuxiang Huang
PY  - 2019/02
DA  - 2019/02
TI  - Quantitative Investment with Machine Learning in US Equity Market
BT  - Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)
PB  - Atlantis Press
SP  - 310
EP  - 318
SN  - 2352-5428
UR  - https://doi.org/10.2991/ssmi-18.2019.55
DO  - 10.2991/ssmi-18.2019.55
ID  - Huang2019/02
ER  -