Forecasting the Stock Returns Using CART

• Main Authors: Cheng Chung-Liang, 鄭忠樑
• Other Authors: Lu Yi-Chuan
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/12927542205784646219

碩士 === 元智大學 === 資訊管理學系 === 90 === 　　The stock price should reasonably reflect the status of the company’s management and profitability. This paper tried to use CART to build a model in order to forecast the stock price rising or falling from the company’s financial ratios. The CART software developed by Salford-Systems is the main analysis tool in this study. 　　This study uses the electronic stocks in Taiwan from the first season of 1995 through the second season of 2001 as samples, and all data informations are from Taiwan Economic Journal (TEJ). The independent variables are the company’s financial ratios and the dependent variable is the stock return. The samples before the second season of 2000 are used as the learning samples, and the samples after that are used as the testing samples. 　　Through the analyses of rates of accuracy and the returns of simulated investment, it is proved that the classification tree constructed in this study is worked, and on all financial ratios, the growing rates of profit are the significant attributions on classification.