Open AccessApplication of Fama-Fench three-factor model in Chinese A-share market --Based on SVM machine learning model
Author(s) -
Pengyun Wang,
Guanying Dai,
Weixin Zhang
Publication year - 2021
Publication title -
financial forum
Language(s) - English
Resource type - Journals
ISSN - 2251-2659
DOI - 10.18282/ff.v10i2.1944
Subject(s) - support vector machine , machine learning , artificial intelligence , construct (python library) , computer science , investment (military) , portfolio , field (mathematics) , finance , economics , mathematics , political science , politics , law , programming language , pure mathematics
How to apply machine learning in the field of financial investment has been a hot research topic in academia and finance. In this paper, the support vector machine method (SVM) in machine learning is combined with Fama-Fench three-factor model to construct a new quantitative investment strategy, and the empirical analysis is carried out by using A-shares. Research shows that support vector machine (SVM) combined with the traditional three-factor model can build a more effective portfolio.