Using Fundamental Analysis and an Ensemble of Classifier Models Along with a Risk-Off Filter to Select Outperforming Companies by Manuel Moura
This book develops a quantitative stock market investment methodology using financial indicators that beats the benchmark of S&P500 index. To achieve this goal, an ensemble of machine learning models is meticulously constructed, incorporating four distinct algorithms: support vector machine, k-nearest neighbors, random forest, and logistic regression. These models all make use of financial ratios extracted from company financial statements for the purposes of predictive forecasting. The ensemble classifier is subject to a strict testing of precision which compares it to the performance of its constituent models separately. Rolling window and cross-validation tests are used in this evaluation in order to provide a comprehensive assessment framework. A risk-off filter is developed to limit risk during uncertain market periods, and consequently to improve the Sharpe ratio of the model. The risk adjusted performance of the final model, supported by the risk-off filter, achieves a Sharpe ratio of 1.63 which surpasses both the model’s performance without the filter that delivers Sharpe ratio of 1.41 and the one from the S&P500 index of 0.80. The substantial increase in risk-adjusted returns is accomplished by reducing the model’s volatility from an annual standard of deviation of 15.75% to 11.22%, which represents an almost 30% decrease in volatility.
Rui Ferreira Neves is a professor at Instituto Superior T�cnico, Portugal. His research activity comprises evolutionary computation and pattern matching applied to the financial markets, sensor networks, embedded systems and mixed signal integrated circuits.
Nuno Horta is the Head of the Integrated Circuits Group, Instituto de Telecomunicacoes, Portugal. His reseach interests are mainly in analog and mixed-sgnal IC design, analog IC design automation, soft computing and data science.
| SKU | Unavailable |
| ISBN 13 | 9783031620607 |
| ISBN 10 | 3031620607 |
| Title | Using Fundamental Analysis and an Ensemble of Classifier Models Along with a Risk-Off Filter to Select Outperforming Companies |
| Author | Manuel Moura |
| Series | Synthesis Lectures On Technology Management And Entrepreneurship Ser |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Springer International Publishing AG |
| Year published | 2024-06-19 |
| Number of pages | 71 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |