統計模型應用於行為股票投資

李奕澄

doi:10.6840/cycu202000078

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統計模型應用於行為股票投資

Applying Statistical Models to Behavioral Stock Investment

李奕澄 , Masters　　Advisor：張國華　　

繁體中文 DOI： 10.6840/cycu202000078

行為股票投資；投資組合最佳化；安全第一模型； Behavioral Stock ； Behavioral portfolio Optimization ； Safety-first model

Abstract │ Reference (19)

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

Most people used to put all their money in the banks to generate interests, but as consumer prices kept rising, people started to choose different investment methods to earn extra income, and stocks were the easiest way to get started. However, in the process of investing in stocks, some uncertain factors may cause investors' irrational behavior, which makes investors make the wrong decisions. Previous researches have analyzed the stocks that are affected by irrational behaviors and observe the causal relationship between irrational behaviors and stocks to find out the future direction of stocks. This study observes the phenomenon of irrational behavior in stocks through the establishment of an Operational Definition (OD). Based on the OD and the historical data, we can find the evidences that stocks are affected by irrational behaviors, and estimate how long it takes for stock price back to normal and the corresponding probability of positive effects, we call these stocks affected by irrational behavior stock(B-stock). This research uses stocks that are expected to have positive effects next day as observed at the current day and utilizes the scenario-based safety-first model to obtain the optimal portfolio. In this study, we generate the returns in scenarios using regression analysis on the past data. By predicting the return rate of the market, we generate scenarios that match the probability of the B-stock having positive effect on the next day. In addition, when we select the potential B-stocks, we first use logistic regression to further exam the probability of positive returns next day. By comparing with the nominal probability of positive returns estimated by OD, we filter out those B-stock that meet nominal probabilities. The experimental results show that our investment portfolio is significantly better than the market.

Reference ( 19 ) 〈TOP〉

[1] Alexander, G. J., Baptista, A. M., Yan, S. (2017). Portfolio selection with mental accounts and estimation risk. Journal of Empirical Finance, 41, 161-186.
[2] Barber, B. M., Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The journal of Finance, 55(2), 773-806.
[3] Bollerslev, T., Chou, R. Y., Kroner, K. F. (1992). ARCH modeling in finance: A review of the theory and empirical evidence. Journal of econometrics, 52(1-2), 5-59.
[4] Chang, K. H., Young, M. N., Hildawa, M. I., Santos, I. J. R., Pan, C. H. (2015). Portfolio selection problem considering behavioral stocks. In Proceedings of the World Congress on Engineering (Vol. 2, pp. 1-3).
[5] Chang, K. H., Young, M. N., Lin, W. K. (2016). Portfolio Selection Problem Considering Behavioral Stocks under Holding Periods. International Journal of Modeling and Optimization, 6(4), 219-224.

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