The US Asia-Pacific strategy is witnessing and will continue to witness new developments along with the evolution of its domestic politics as well as of the regional situation in Asia Pacific,particularly with Republi...The US Asia-Pacific strategy is witnessing and will continue to witness new developments along with the evolution of its domestic politics as well as of the regional situation in Asia Pacific,particularly with Republican candidate Donald展开更多
Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields,including stock market investment.However,few studies have focused on f...Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields,including stock market investment.However,few studies have focused on forecasting daily stock market returns,especially when using powerful machine learning techniques,such as deep neural networks(DNNs),to perform the analyses.DNNs employ various deep learning algorithms based on the combination of network structure,activation function,and model parameters,with their performance depending on the format of the data representation.This paper presents a comprehensive big data analytics process to predict the daily return direction of the SPDR S&P 500 ETF(ticker symbol:SPY)based on 60 financial and economic features.DNNs and traditional artificial neural networks(ANNs)are then deployed over the entire preprocessed but untransformed dataset,along with two datasets transformed via principal component analysis(PCA),to predict the daily direction of future stock market index returns.While controlling for overfitting,a pattern for the classification accuracy of the DNNs is detected and demonstrated as the number of the hidden layers increases gradually from 12 to 1000.Moreover,a set of hypothesis testing procedures are implemented on the classification,and the simulation results show that the DNNs using two PCA-represented datasets give significantly higher classification accuracy than those using the entire untransformed dataset,as well as several other hybrid machine learning algorithms.In addition,the trading strategies guided by the DNN classification process based on PCA-represented data perform slightly better than the others tested,including in a comparison against two standard benchmarks.展开更多
A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employ...A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns.The empirical results show that 1)the Search Frequency of Baidu Index(SFBI)can predict next day’s price changes;2)the stock prices go up when individual investors pay less attention to the stocks and go down when individual investors pay more attention to the stocks;3)the trading strategy constructed by shorting on the most SFBI and longing on the least SFBI outperforms the corresponding market index returns without consideration of the transaction costs.These results complement the existing literature on the predictability of Chinese stock returns and have potential implications for asset pricing and risk management.展开更多
Deterrence and coercion are two kinds of strategies,the latter being more aggressive than the former.The U.S.Asia-Pacific Rebalancing strategy is an important diplomatic legacy of Obama's administration.For the is...Deterrence and coercion are two kinds of strategies,the latter being more aggressive than the former.The U.S.Asia-Pacific Rebalancing strategy is an important diplomatic legacy of Obama's administration.For the issues involving the Diaoyu Islands,the South China Sea,cyber security,DPRK's nuclear program,and Iran's nuclear program,the U.S.has carried out military deterrence and non-force coercion against China.But generally,these are low-level coercive measures and distinct from the severe economic sanction and diplomatic isolation imposed by the U.S.on Russia,Syria,DPRK and Iran in recent years.Concerning issues where the U.S.and China hold distinct views,there would be less strategic leeway for the two countries.If the U.S.is to strengthen deterrence and coercion towards China,China can respond more actively and effectively,but it will be more difficult to build a new model of China-U.S.major-country relationship.展开更多
文摘The US Asia-Pacific strategy is witnessing and will continue to witness new developments along with the evolution of its domestic politics as well as of the regional situation in Asia Pacific,particularly with Republican candidate Donald
文摘Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields,including stock market investment.However,few studies have focused on forecasting daily stock market returns,especially when using powerful machine learning techniques,such as deep neural networks(DNNs),to perform the analyses.DNNs employ various deep learning algorithms based on the combination of network structure,activation function,and model parameters,with their performance depending on the format of the data representation.This paper presents a comprehensive big data analytics process to predict the daily return direction of the SPDR S&P 500 ETF(ticker symbol:SPY)based on 60 financial and economic features.DNNs and traditional artificial neural networks(ANNs)are then deployed over the entire preprocessed but untransformed dataset,along with two datasets transformed via principal component analysis(PCA),to predict the daily direction of future stock market index returns.While controlling for overfitting,a pattern for the classification accuracy of the DNNs is detected and demonstrated as the number of the hidden layers increases gradually from 12 to 1000.Moreover,a set of hypothesis testing procedures are implemented on the classification,and the simulation results show that the DNNs using two PCA-represented datasets give significantly higher classification accuracy than those using the entire untransformed dataset,as well as several other hybrid machine learning algorithms.In addition,the trading strategies guided by the DNN classification process based on PCA-represented data perform slightly better than the others tested,including in a comparison against two standard benchmarks.
基金This work is supported by the National Natural Science Foundation of China(71320107003 and 71532009).
文摘A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns.The empirical results show that 1)the Search Frequency of Baidu Index(SFBI)can predict next day’s price changes;2)the stock prices go up when individual investors pay less attention to the stocks and go down when individual investors pay more attention to the stocks;3)the trading strategy constructed by shorting on the most SFBI and longing on the least SFBI outperforms the corresponding market index returns without consideration of the transaction costs.These results complement the existing literature on the predictability of Chinese stock returns and have potential implications for asset pricing and risk management.
文摘Deterrence and coercion are two kinds of strategies,the latter being more aggressive than the former.The U.S.Asia-Pacific Rebalancing strategy is an important diplomatic legacy of Obama's administration.For the issues involving the Diaoyu Islands,the South China Sea,cyber security,DPRK's nuclear program,and Iran's nuclear program,the U.S.has carried out military deterrence and non-force coercion against China.But generally,these are low-level coercive measures and distinct from the severe economic sanction and diplomatic isolation imposed by the U.S.on Russia,Syria,DPRK and Iran in recent years.Concerning issues where the U.S.and China hold distinct views,there would be less strategic leeway for the two countries.If the U.S.is to strengthen deterrence and coercion towards China,China can respond more actively and effectively,but it will be more difficult to build a new model of China-U.S.major-country relationship.
