Quantitative Strategies Based on an Improved K-means Algorithm
- 10.2991/meici-17.2017.129How to use a DOI?
- An improved K-means algorithm;Rolling stock;Quantitative strategy
In this paper, a kind of improved k-clustering stock-picking method is adopted to cluster the 300 indexes of the csi 300 indexes, and investigate the average yield of all kinds, and select the class with the highest average rate of return to be held as our portfolio, thus achieving the excess return. The empirical evidence shows that, using the strategy of this paper to select the stocks and roll it, the excess accumulated yield of the portfolio is better than that of the csi 300.
- © 2017, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Xinyu Wang AU - Lian Xue AU - Ruiyu Yu AU - Yike Wu AU - Qunfang Yu PY - 2017/10 DA - 2017/10 TI - Quantitative Strategies Based on an Improved K-means Algorithm BT - Proceedings of the 7th International Conference on Management, Education, Information and Control (MEICI 2017) PB - Atlantis Press SP - 655 EP - 658 SN - 1951-6851 UR - https://doi.org/10.2991/meici-17.2017.129 DO - 10.2991/meici-17.2017.129 ID - Wang2017/10 ER -