Optimization of short-term stock selection based on volume and price using a non-cooperative parallel DEA model

Abstract

This paper presents a novel approach to portfolio optimization in the field of finance, with a specific focus on short-term yield. Existing literature has mainly utilized fundamental data to predict long-term trends in stock prices, but our proposed methodology utilizes technical indicators based on the theory of chasing up. Furthermore, we address the non-cooperative nature of volume and price fluctuation indicators and introduce non-cooperative theory into the short-term volume and price stock selection scheme for the first time. We propose an optimization of short-term stock selection based on volume and price using a non-cooperative parallel Data Envelopment Analysis (DEA) model, which we apply to Chinese main board listed companies. Our empirical results demonstrate the effectiveness of our model in selecting high-yield stocks in the short term. This paper contributes to the ongoing discussion on portfolio optimization and presents a compelling solution for investors seeking to maximize their financial gains. The proposed methodology can be utilized in practical applications and has significant implications for the financial industry.