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A modification ofRandom Forestinvestment assetsselection algorithm :доклад, тезисыдоклада Zinenko AnnaStupina Alena2025 год

A modification of Random Forest investment assets selection algorithm : доклад, тезисы доклада
доклад, тезисы доклада, статья из сборника материалов конференций

База данных: Каталог библиотеки СФУ
Аннотация: The paper presents selecting stocks for an investment portfolio algorithm, alternative to standard mathematical programming optimal portfolio methods. To implement the algorithm, a modification of the Random Forest machine learning model is proposed. At the first step, the algorithm builds a decision tree based on forecasts using the naive method and the ARIMA method, and then it forms a “forest” of trees from random subsamples. The algorithm was tested on different time intervals on the instruments of two exchange indices. Its implementation showed good results - at least 78% of the selected stocks increased in price over the forecast period.
Год издания: 2025
Авторы: Zinenko Anna, Stupina Alena
Источник: ITM Web of Conferences

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