A Stock Index Prediction Method and Trading Strategy Based on the Combination of Lasso-Grid Search-Random Forest

Author(s):  
Shaozhen Chen ◽  
Hui Zhu ◽  
Wenxuan Liang ◽  
Liang Yuan ◽  
Xianhua Wei
2021 ◽  
Author(s):  
Mohamed G. El-Shafiey ◽  
Ahmed Hagag ◽  
El-Sayed A. El-Dahshan ◽  
Manal A. Ismail

2019 ◽  
Vol 2019 ◽  
pp. 1-11 ◽  
Author(s):  
Qiang Shang ◽  
Derong Tan ◽  
Song Gao ◽  
Linlin Feng

Predicting traffic incident duration is important for effective and real-time traffic incident management (TIM), which helps to minimize traffic congestion, environmental pollution, and secondary incident related to this incident. Traffic incident duration prediction methods often use more input variables to obtain better prediction results. However, the problems that available variables are limited at the beginning of an incident and how to select significant variables are ignored to some extent. In this paper, a novel prediction method named NCA-BOA-RF is proposed using the Neighborhood Components Analysis (NCA) and the Bayesian Optimization Algorithm (BOA)-optimized Random Forest (RF) model. Firstly, the NCA is applied to select feature variables for traffic incident duration. Then, RF model is trained based on the training set constructed using feature variables, and the BOA is employed to optimize the RF parameters. Finally, confusion matrix is introduced to measure the optimized RF model performance and compare with other methods. In addition, the performance is also tested in the absence of some feature variables. The results demonstrate that the proposed method not only has high accuracy, but also exhibits excellent reliability and robustness.


2019 ◽  
Vol 2019 ◽  
pp. 1-13
Author(s):  
Younes Chihab ◽  
Zineb Bousbaa ◽  
Marouane Chihab ◽  
Omar Bencharef ◽  
Soumia Ziti

In the Forex market, the price of the currencies increases and decreases rapidly based on many economic and political factors such as commercial balance, the growth index, the inflation rate, and the employment indicators. Having a good strategy to buy and sell can make a profit from the above changes. A successful strategy in Forex should take into consideration the relation between benefits and risks. In this work, we propose an intraweek foreign exchange speculation strategy for currency markets based on a combination of technical indicators. This system has a two-level decision and is composed of the Probit regression model and rules discovery using Random Forest. There are two minimum requirements for a trading strategy: a rule to enter the market and a rule to exit it. Our proposed system, to enter the currency market, should validate two conditions. First, it should validate Random Forest access rules over the following week while in the second one the predicted value of the next day using Probit should be positive. To exit the currency market just one negative warning from Probit or Random Forest is enough. This system was used to develop dynamic portfolio trading systems. The profitability of the model was examined for USD/(EUR, JYN, BRP) variation within the period from January 2014 to January 2016. The proposed system allows improving the prediction accuracy. This indicates a good prediction of the behavior market and it helps to identify the good times to enter it or to leave it.


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