A Novel Lasso Regression Model for Sector Rotation Trading Strategies with "Economy-Policy" Cycles.
Xiaoya WangYihui ZhangYixin ChenPublished in: IEEE BigData (2020)
Keyphrases
- regression model
- trading strategies
- group lasso
- generalized linear models
- model selection
- test bed
- trading agents
- stock market
- regression methods
- regression analysis
- optimal policy
- computer programs
- linear model
- ridge regression
- financial markets
- multivariate regression
- cross validation
- explanatory variables
- kernel regression
- linear regression
- linear regression model
- interval valued data
- feature selection
- gaussian process
- trading systems
- locally weighted
- semi parametric
- logistic regression
- long term
- high level