iip
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1 Stock Selection Task Stock Selection Task Given information prior to week t, predict performance of stocks of week t – Training set Predictor 1 Predictor 2 Predictor 3 Goal Stock ID Return of week t-1 Return of week t-2 Volume ratio of t-2/t-1 Return of week t Learning a ranking function to rank testing data – Select n highest to buy, n lowest to short-sell
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Transcript of iip
1
Stock Selection TaskStock Selection TaskGiven information prior to week t, predict
performance of stocks of week t– Training set
Predictor 1 Predictor 2 Predictor 3 Goal
Stock ID Return of week t-1
Return of week t-2
Volume ratio of t-2/t-1
Return of week t
Learning a ranking function to rank testing data– Select n highest to buy, n lowest to short-sell
2
OutlineOutline
• Introduction
• The stock selection task
• The Prototype Ranking method
• Experimental results
• Conclusions
