基于GA-RS-LR算法的公司财务与个股投资探究
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引用本文:瞿尚薇,王斌会.基于GA-RS-LR算法的公司财务与个股投资探究[J].经济数学,2016,(1):68-71
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作者单位
瞿尚薇,王斌会 (1.暨南大学 经济学院,广州510632
2.暨南大学 管理学院广州510632) 
中文摘要:运用遗传算法-粗糙集-逻辑回归方法(GA-RS-LR)探讨我国A股上市公司财务与股票收益的关系.运用GA-RS方法获得财务指标最优约简;运用LR模型探求两者关系.最终,经GA-RS约简,60个财务指标中有17个对股票投资有重要影响;通过LR模型,4个指标具有显著效应;其中,负债与权益市价比为5.82%负效应,其余为正效应.对2015年股票相对波动进行预测得到70%的准确率,验证了GA-RS-LR模型对中长期投资的有效性.
中文关键词:遗传算法-粗糙集  逻辑回归  股票收益  公司财务
 
Research on Corporate Finance and Stock Investment Based on GA-RS-LR Algorithm
Abstract:To research the inner connection between the financial index system and the stock investment in 2014, data mining techniques of RS-Logit regression embedding genetic algorithm was applied. Through Rough Sets, the financial index system can be reduced by eliminating redundant variables. Local optima was successfully avoided by embedding Genetic Algorithm in RS reduction’s process. Furthermore, stepwise regression was applied to eliminate multi-collinearity of inputs, and Logit regression was established between the financial index system and the stock investment. The result shows that most indexes have positive effect on stock investment, except the ratio of debt and market price, with about 5.819% negative effect. 70% samples have a perfect forecast with data in 2015, which has enhanced the effect of this model.
keywords:GA-RS  Logit Regression  Stock Returns  Corporate Finance
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