Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 4, 2023 erstellt
Description:
A deep learning method is applied to predict stock portfolio allocation in the Chinese stock market. We use 6 original price and volume series as benchmark model settings and further explore the model's predictive performance with social media sentiment. Our results show that our model can achieve a high out-of-sample Sharp ratio and annual return. Moreover, social media sentiment could increase the performance for both Sharp ratio and annual return while reducing annual volatility. We provide an end-to-end stock portfolio allocation model based on deep neural networks