随机森林在量化选股中的应用研究

通过分析国内外量化选股模型采用的指标体系,从焦健的六因子模型出发,使用指标相关性分析方法,提出了八因子选股模型指标体系,选用了2013年3月200只股票的样本数据,使用随机森林算法实现了对2013年4月股票涨跌情况较高精确度的预测,通过对比分析焦健的六因子模型,并分析优选后的股票在行业平均收益、最值方面的实际表现,验证了该量化选股模型在中国股票市场上有较好的性能。

Research on Application of Random Forests in the Quantitative Stock Selection Model

By analyzing the indicator system used by the stock selection model at home and abroad, we start from the six factor model of Jiao Jian, use correlation analysis method of the indicators, and propose the indicator system of the eight factor stock selection model. We selecte the sample data for 200 stocks in 2013 March, achieve a prediction about the rise and fall of the stock in 2013 April by the random forests. We verify the quantitative stock model has better performance in the Chinese stock market, by comparing the six factor model of Jiao Jian and analyzing the actual performance values of the preferred stock in the average income and the minimum and maximum values in the trade.