神经网络股票评级预测器中的异常收益
Anomalous Returns in a Neural Network Equity-Ranking Predictor
摘要：
使用人工神经网络（ANN），价值线指数中约1500只股票的固定范围按其预测的下一季度价格变化进行排名。网络的输入仅包括每只股票的价格和收益的前10个季度百分比变化（按季度，而不是累计），转换为约为零的相对排名。分别以10，20，.，和100只顶级股票（多头投资组合），10，20，...，100只排名最低的股票（空头投资组合）及其对冲组合（多空组合）。从1994年第三季度末到2001年第四季度的29个季度的模拟中，所有投资组合在一个季度内保持不变，这与2002年采用的相同方法重复了真实世界的交易。结果与标准普尔500指数进行了比较，价值线宇宙本身，使用专有的“价值线排名系统”（这种方法在某些方面类似）交易股票宇宙，以及对相同股票进行排名的鞅方法。网络预测器产生的累积收益显著超过标准普尔500指数、整体、鞅和价值线预测方法产生的收益，并且不受交易成本的影响。ANN显示出显著正的Jensen α，即，异常风险调整预期收益率。其全球表现的时间序列显示出明显的反持续性。然而，它的性能明显优于一个简单的一步鞅预测，比价值线系统本身，比一个简单的购买和持有策略，即使交易成本占。
英文摘要：
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network consist only of the ten prior quarterly percentage changes in price and in earnings for each equity (by quarter, not accumulated), converted to a relative rank scaled around zero. Thirty simulated portfolios are constructed respectively of the 10, 20,..., and 100 top ranking equities (long portfolios), the 10, 20,..., 100 bottom ranking equities (short portfolios) and their hedged sets (long-short portfolios). In a 29-quarter simulation from the end of the third quarter of 1994 through the fourth quarter of 2001 that duplicates real-world trading of the same method employed during 2002, all portfolios are held fixed for one quarter. Results are compared to the S&P 500, the Value Line universe itself, trading the universe of equities using the proprietary ``Value Line Ranking System'' (to which this method is in some ways similar), and to a Martingale method of ranking the same equities. The cumulative returns generated by the network predictor significantly exceed those generated by the S&P 500, the overall universe, the Martingale and Value Line prediction methods and are not eroded by trading costs. The ANN shows significantly positive Jensen's alpha, i.e., anomalous risk-adjusted expected return. A time series of its global performance shows a clear antipersistence. However, its performance is significantly better than a simple one-step Martingale predictor, than the Value Line system itself and than a simple buy and hold strategy, even when transaction costs are accounted for.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
