{"title":"用主成分分析法选股","authors":"Libin Yang, W. Rea, Alethea Rea","doi":"10.21314/JOIS.2016.067","DOIUrl":null,"url":null,"abstract":"We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of stocks required to form a diversified portfolio is not constant across time but varies with market conditions.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"5 1","pages":"35-55"},"PeriodicalIF":0.0000,"publicationDate":"2016-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"Stock selection with principal component analysis\",\"authors\":\"Libin Yang, W. Rea, Alethea Rea\",\"doi\":\"10.21314/JOIS.2016.067\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of stocks required to form a diversified portfolio is not constant across time but varies with market conditions.\",\"PeriodicalId\":90597,\"journal\":{\"name\":\"Journal of interaction science\",\"volume\":\"5 1\",\"pages\":\"35-55\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-02-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of interaction science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21314/JOIS.2016.067\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of interaction science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21314/JOIS.2016.067","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We propose a stock selection method that is based on a variable selection method used with principal component analysis. We applied our method to stocks in the ASX200 and show that a portfolio of as little as 15 stocks can closely replicate the behaviour of the index. We show that the number of stocks required to form a diversified portfolio is not constant across time but varies with market conditions.
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