A-share Investment Algorithm Based on Overreaction Effect
This paper focused on overreaction effect of the domestic stock market and proposed stock selection investment model by use of overreaction effect.Investment simulation results not only show overreaction effect existing in Shanghai stock market,but also prove that the stock selection investment model can reach big returns on investment.Methods proposed in this paper can provide investors with no experience clear and objective ways on how to measure changes of share prices,as well as effective stock selection recommendations.The study also provided more scientific judgments for companies and other equity investment institutions with positive practical guiding significance.
overreaction effect spread arbitrage statistical regression analysis
Tiansheng XU Huijuan XU Yiping YANG Jun ZHANG
Information Institute Capital University of Economics and Business.CUEB Beijing,China
国际会议
重庆
英文
852-855
2010-09-17（万方平台首次上网日期，不代表论文的发表时间）