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	Predicting Return Reversal through a Two-Stage Method; Predicting Return Reversal through a Two-Stage Method
	Shuai Zhao ; Yunhai Tong ; Xiangfeng Meng ; Xianglin Yang ; Shaohua Tan
	2016
关键词	return reversal stock market prediction machine learning methods return reversal stock market prediction machine learning methods
英文摘要	In the stock market,return reversal happens when investors sell overbought stocks and buy oversold stocks,making the trends of the stocks' prices reverse.While existing studies mainly focused on developing theories to explain the cause of return reversal,we aim at predicting return reversal by proposing a two-stage method in this paper.In the first stage,we employ dynamical Bayesian factor graph(DBFG) to select key factors correlating with return reversal closely from a comprehensive set of economic factors.In the second stage,we input the key factors into artificial neural network(ANN),support vector machine(SVM) and hidden Markov model(HMM) respectively,to accomplish the prediction of return reversal.Through extensive experiments on the US stock market,we establish that the key factors influencing return reversal generally change from year to year,yet factors related to the economic theory of liquidity effect consistently emerge as part of the key factors.Besides,DBFG-ANN achieves the most accurate predicti...; In the stock market,return reversal happens when investors sell overbought stocks and buy oversold stocks,making the trends of the stocks' prices reverse.While existing studies mainly focused on developing theories to explain the cause of return reversal,we aim at predicting return reversal by proposing a two-stage method in this paper.In the first stage,we employ dynamical Bayesian factor graph(DBFG) to select key factors correlating with return reversal closely from a comprehensive set of economic factor; The Institute of Electrical and Electronics Engineers、IEEE Beijing Section; 4
语种	英语
内容类型	其他
源URL	[http://ir.pku.edu.cn/handle/20.500.11897/479888]
专题	信息科学技术学院
推荐引用方式 GB/T 7714	Shuai Zhao,Yunhai Tong,Xiangfeng Meng,et al. Predicting Return Reversal through a Two-Stage Method, Predicting Return Reversal through a Two-Stage Method. 2016-01-01.

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