019-12

2017-10-11 (水) 09:10:18 (12d) | Topic path: Top / 019-12

第19回研究会

新しいポートフォリオ構築アルゴリズムに向けたモーメンタム効果のモデル化

著者

海野一則(東京工業大学), 菊地剛正(慶應義塾大学), 國上真章(東京工業大学), 山田隆志(山口大学), 寺野隆雄(東京工業大学)

概要

This research has two objectives: (1) to model and analyze the momentum effect, (2) to propose a portfolio reconstruction algorithm that can use the momentum effect to obtain excess profit. The momentum effect tends to be present in the stock market, and describes the phenomenon whereby rising (declining) stocks tend to continue to rise (decline). However, because existing research does not separate momentum effects from stock price fluctuations it is not always possible to obtain excess return when working with an unknown data set that contains a momentum effect. In this research, we define a new External Force Momentum Effect (EFME) model based on bias in stock price rises (declines). We prepared an artificial data set that contained this momentum effect and constructed a portfolio with the proposed algorithm. The relationship between the EFME model and excess return is then analyzed to verify that excess profit can be obtained. Additionally, we confirmed that the proposed method can obtain higher excess return than the existing method when applied to artificial and real stock data sets.

キーワード

momentum effect, anomalies, trading algorithm, on-line portfolio selection strategy

論文

fileSIG-FIN-019-12.pdf

添付ファイル: fileSIG-FIN-019-12.pdf 85件 [詳細]
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