Decision-making for financial trading: A fusion approach of machine learning and portfolio selection

作者：

Highlights：

• A decision-making model for day trade investments on the stock market is proposed

• The fusion approach between SVM and portfolio selection showed significant results

• The greater the defined target gain, the better discriminatory performance of the SVM

• The results of alternative models were worse than the proposed model

• The brokerage costs can be a strong constraint to feasibility of the proposed model

摘要

•A decision-making model for day trade investments on the stock market is proposed•The fusion approach between SVM and portfolio selection showed significant results•The greater the defined target gain, the better discriminatory performance of the SVM•The results of alternative models were worse than the proposed model•The brokerage costs can be a strong constraint to feasibility of the proposed model

论文关键词：Decision-making,Financial trading,Support vector machines,Portfolio selection,Stock market

论文评审过程：Received 12 February 2018, Revised 31 July 2018, Accepted 1 August 2018, Available online 2 August 2018, Version of Record 7 September 2018.

论文官网地址：https://doi.org/10.1016/j.eswa.2018.08.003