Application of Fama-Fench three-factor model in Chinese A-share market --Based on SVM machine learning model

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.