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An Analysis on Investment Performance of Machine Learning: An Empirical Examination on Taiwan Stock Market

Author

Listed:
  • Chia-Cheng Chen

    (Department of Finance, Ling Tung University of Science and Technology, Taiwan)

  • Yisheng Liu

    (Department of Finance, National Yunlin University of Science and Technology, Taiwan,)

  • Ting-Hsin Hsu

    (Department of Finance, National Taichung University of Science and Technology, Taiwan)

Abstract

This study aims to explore the prediction of Taiwan stock price movement and conduct an analysis of its investment performance. Based on Taiwan Stock Market index, the study compares four machine learning models: ANN, SVM, Random Forest and Na ve-Bayes. With a performance evaluation of Taiwan Stock Market index historical data spanning from 2014 to 2018, we find: (1) By overall performance measures, machine learning models outperform benchmark market index. (2) By risk-adjusted measures, the empirical results suggest that ANN generates the best performance, followed by SVM and Random Forest, and Na ve-Bayes coming in last.

Suggested Citation

  • Chia-Cheng Chen & Yisheng Liu & Ting-Hsin Hsu, 2019. "An Analysis on Investment Performance of Machine Learning: An Empirical Examination on Taiwan Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 1-10.
  • Handle: RePEc:eco:journ1:2019-04-1
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    References listed on IDEAS

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    More about this item

    Keywords

    Naive-Bayes; ANN; SVM; Random Forest; Machine Learning; Investment Performance;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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