Concept drift mining of portfolio selection factors in stock market.
Yong HuKang LiuXiangzhou ZhangKang XieWeiqi ChenYuran ZengMei LiuPublished in: Electron. Commer. Res. Appl. (2015)
Keyphrases
- stock market
- concept drift
- portfolio selection
- financial markets
- portfolio optimization
- data streams
- stock price
- short term
- non stationary
- financial time series
- classification algorithm
- data distribution
- portfolio management
- stock exchange
- change detection
- financial data
- data sets
- stock index futures
- robust optimization
- data mining
- neural network
- sequential patterns
- long term
- transaction costs
- machine learning
- high dimensional