Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

On some statistical procedures for stock selection problem

On some statistical procedures for stock selection problem The problem of stock selection in market network is discussed from different points of view. Three different sequentially rejective statistical procedures for stock selection are described and compared: Holm multiple test procedure, maximin multiple test procedure and multiple decision procedure. Properties of statistical procedures are studied for different loss functions. It is shown that conditional risk for additive loss function essentially depends on correlation matrix for maximin procedure, and does not depend for multiple decision procedure. The dependence on correlation matrix is different for 0-1 (non additive) loss functions. Dependence of error probability and conditional risk on the selection threshold is studied as well. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Annals of Mathematics and Artificial Intelligence Springer Journals

On some statistical procedures for stock selection problem

Loading next page...
 
/lp/springer-journals/on-some-statistical-procedures-for-stock-selection-problem-YaqhbuwAft

References (18)

Publisher
Springer Journals
Copyright
Copyright © 2015 by Springer International Publishing Switzerland
Subject
Computer Science; Artificial Intelligence (incl. Robotics); Mathematics, general; Computer Science, general; Statistical Physics, Dynamical Systems and Complexity
ISSN
1012-2443
eISSN
1573-7470
DOI
10.1007/s10472-014-9447-1
Publisher site
See Article on Publisher Site

Abstract

The problem of stock selection in market network is discussed from different points of view. Three different sequentially rejective statistical procedures for stock selection are described and compared: Holm multiple test procedure, maximin multiple test procedure and multiple decision procedure. Properties of statistical procedures are studied for different loss functions. It is shown that conditional risk for additive loss function essentially depends on correlation matrix for maximin procedure, and does not depend for multiple decision procedure. The dependence on correlation matrix is different for 0-1 (non additive) loss functions. Dependence of error probability and conditional risk on the selection threshold is studied as well.

Journal

Annals of Mathematics and Artificial IntelligenceSpringer Journals

Published: Jan 7, 2015

There are no references for this article.