A hybrid approach to combining CART and logistic regression for stock ranking

Zhu, Min, Philpotts, David, Sparks, Ross, & Stevenson, Maxwell J. (2011) A hybrid approach to combining CART and logistic regression for stock ranking. The Journal of Portfolio Management, 38(1), pp. 100-109.

[img] Accepted Version (PDF 238kB)
Administrators only | Request a copy from author

View at publisher


The benefits of applying tree-based methods to the purpose of modelling financial assets as opposed to linear factor analysis are increasingly being understood by market practitioners. Tree-based models such as CART (classification and regression trees) are particularly well suited to analysing stock market data which is noisy and often contains non-linear relationships and high-order interactions. CART was originally developed in the 1980s by medical researchers disheartened by the stringent assumptions applied by traditional regression analysis (Brieman et al. [1984]). In the intervening years, CART has been successfully applied to many areas of finance such as the classification of financial distress of firms (see Frydman, Altman and Kao [1985]), asset allocation (see Sorensen, Mezrich and Miller [1996]), equity style timing (see Kao and Shumaker [1999]) and stock selection (see Sorensen, Miller and Ooi [2000])...

Impact and interest:

4 citations in Scopus
Search Google Scholar™
3 citations in Web of Science®

Citation counts are sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

ID Code: 54042
Item Type: Journal Article
Refereed: Yes
Keywords: CART, stock selection
DOI: 10.3905/jpm.2011.38.1.100
ISSN: 0095-4918
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2011 Institutional Investor Journals
Deposited On: 09 Oct 2012 23:56
Last Modified: 12 Oct 2012 16:12

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page