Stock selection strategy of A-share market based on rotation effect and random forest

• Published in: AIMS mathematics Vol. 5; no. 5; pp. 4563 - 4580
• Main Authors: Wang, Shuai, Li, Zhongyan, Zhu, Jinyun, Lin, Zhicen, Zhong, Meiru
• Format: Journal Article
• Language: English
• Published: AIMS Press 01.01.2020
• Subjects: a-share market; multiple-factor stock selection model; quantitative investment; random forests; the shift of large cap stocks style and small cap stocks style

Due to the random nature of stock market, it is extremely difficult to capture market trends with traditional subjective analysis. Besides, the modeling and forecasting of quantitative investment strategies are not easy. Based on the research of experts and scholars at home and abroad and the rotati...