020-05

第20回研究会

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

論文†

SIG-FIN-020-05.pdf