An Empirical Analysis on the Portfolio of Transnational Auto Market Based on ARIMA-LSTM

DOI

10.2991/978-94-6463-054-1_16How to use a DOI?

Keywords

Transnational automobile stock price; ARIMA-LSTM; Mean-variance model; Sharpe ratio

Abstract

Due to the rise of raw material prices, the reduction of automobile production capacity caused by COVID-19, the trend of global electrification and other factors, the investment in transnational automobile stocks has gradually become a new target for global investors. Because the general stock price data has both linear and non-linear characteristics, the integrated model is much more favourable than the single models in prediction, resulting in more and more widespread application in financial time series. According to the above, a total of 10 groups of auto stock closing prices listed in the US, Japan, China, Germany and the UK from January 1, 2016 to December 31, 2021 were selected as research samples to establish ARIMA-LSTM model to forecast the closing price in the next 10 working days. Subsequently, the mean variance model is constructed, and the optimal portfolio is obtained in terms of the maximum Sharpe ratio. The results illustrate that: (1) The accuracy of ARIMA-LSTM integrated model is validated to more excellent than that of single ARIMA and LSTM; (2) Based on the stock closing prices in the next 10 working days predicted by the combination model, the performance of the maximum Sharpe ratio portfolio is better than that of the market average.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yiping Hong
PY  - 2022
DA  - 2022/12/14
TI  - An Empirical Analysis on the Portfolio of Transnational Auto Market Based on ARIMA-LSTM
BT  - Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022)
PB  - Atlantis Press
SP  - 130
EP  - 142
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-054-1_16
DO  - 10.2991/978-94-6463-054-1_16
ID  - Hong2022
ER  -