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.
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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. ). 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 ), asset allocation (see Sorensen, Mezrich and Miller ), equity style timing (see Kao and Shumaker ) and stock selection (see Sorensen, Miller and Ooi )...
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|Item Type:||Journal Article|
|Keywords:||CART, stock selection|
|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|
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