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2008-05-27Buch DOI: 10.18452/4127
Stock Picking via Nonsymmetrically Pruned Binary Decision Trees
dc.contributor.authorAndriyashin, Anton
dc.date.accessioned2017-06-15T23:42:37Z
dc.date.available2017-06-15T23:42:37Z
dc.date.created2008-05-28
dc.date.issued2008-05-27
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4779
dc.description.abstractStock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the trees. While there exists a standard method of tree pruning, which is based on the cost-complexity tradeoff and used in the majority of studies employing binary decision trees, this paper introduces a novel methodology of nonsymmetric tree pruning called Best Node Strategy (BNS). An important property of BNS is proven that provides an easy way to implement the search of the optimal tree size in practice. BNS is compared with the traditional pruning approach by composing two recursive portfolios out of XETRA DAX stocks. Performance forecasts for each of the stocks are provided by constructed decision trees. It is shown that BNS clearly outperforms the traditional approach according to the backtesting results and the Diebold-Mariano test for statistical significance of the performance difference between two forecasting methods.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectdecision treeeng
dc.subjectstock pickingeng
dc.subjectpruningeng
dc.subjectearnings forecastingeng
dc.subjectdata miningeng
dc.subject.ddc330 Wirtschaft
dc.titleStock Picking via Nonsymmetrically Pruned Binary Decision Trees
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10088611
dc.identifier.doihttp://dx.doi.org/10.18452/4127
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages36
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue35
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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