A possible approach to combining popular Japan equity market strategies with an emphasis on machine learning solutions †
著者 †
西山昇(Dragons' Desk, 千葉商科大学)
概要 †
We analyze the impact of advanced machine learning methods on the performance and risk characteristics of popular Japan equity strategies over the last 10 years. We then propose a possible approach to combining the findings into a single strategy and we analyze the results.
キーワード †
Historical back-testing,Machine learning,EM algorithm,GARCH,Optimization