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This paper presents a machine learning-based portfolio optimization model alongside a trading strategy algorithm. There are two distinct steps to the approach. Firstly, the long short-term memory (LSTM) neural network model was used to predict the closing price of stocks in the following 4 days. The average rise and fall rate over these four days i...
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... set the portfolio's holding period to d. Subsequently, the LSTM4-IMV algorithm was employed to conduct experimental simulations on the 2023 data for portfolios categorized as group1 to group3. The experimental results are detailed in Table 3. When d is set to 4 days, the AR rates for all three groups of stocks either surpassed or closely approached those for d=1,2, and 3, achieving a positive return of over 10%. ...Similar publications
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