Name
Title | ||
|---|---|---|
Cascading logistic regression onto gradient boosted decision trees for forecasting and trading stock indices. |
Abstract | ||
|---|---|---|
Forecasting the direction of the daily changes of stock indices is an important yet difficult task for market participants. Advances on data mining and machine learning make it possible to develop more accurate predictions to assist investment decision making. This paper attempts to develop a learning architecture LR2GBDT for forecasting and trading stock indices, mainly by cascading the logistic regression (LR) model onto the gradient boosted decision trees (GBDT) model. Without any assumption on the underlying data generating process, raw price data and twelve technical indicators are employed for extracting the information contained in the stock indices. The proposed architecture is evaluated by comparing the experimental results with the LR, GBDT, SVM (support vector machine), NN (neural network) and TPOT (tree-based pipeline optimization tool) models on three stock indices data of two different stock markets, which are an emerging market (Shanghai Stock Exchange Composite Index) and a mature stock market (Nasdaq Composite Index and S&P 500 Composite Stock Price Index). Given the same test conditions, the cascaded model not only outperforms the other models, but also shows statistically and economically significant improvements for exploiting simple trading strategies, even when transaction cost is taken into account. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1016/j.asoc.2019.105747 | Applied Soft Computing |
Keywords | Field | DocType |
Ensemble learning,Gradient boosted decision trees,Logistic regression,Stock market,Transaction cost | Econometrics,Trading strategy,Composite index,Stock market index,Support vector machine,Stock exchange,Artificial intelligence,Artificial neural network,Stock market,Alternating decision tree,Machine learning,Mathematics | Journal |
Volume | ISSN | Citations |
84 | 1568-4946 | 0 |
PageRank | References | Authors |
0.34 | 0 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Feng Zhou | 1 | 2189 | 158.01 |
| Qun Zhang | 2 | 5 | 0.76 |
| Didier Sornette | 3 | 238 | 37.50 |
| Liu Jiang | 4 | 0 | 0.34 |