Group Penalized Multinomial Logit Models and Stock Return Direction Prediction

Author:

Hu Xuemei1ORCID,Yang Junwen2

Affiliation:

1. Chongqing Key Laboratory of Statistical Intelligent Computing and Monitoring and School of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing, China

2. School of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing, China

Funder

Fifth Batch of Excellent Talent Support Program of Chongqing Colleges and University

Natural Science Foundation of CQ CSTC

Program for Chongqing Statistics Postgraduate Supervisor Team

Chongqing Social Science Plan Project

Science and Technology Research Program of Chongqing Education Commission

Open Project from Chongqing Key Laboratory of Social Economy and Applied Statistics

Mathematic and Statistics Team from Chongqing Technology and Business University

Publisher

Institute of Electrical and Electronics Engineers (IEEE)

Reference61 articles.

1. Forecasting stock prices through univariate ARIMA modeling;Afeef;Int. J. Bus. Manag.,2018

2. Categorical Data Analysis

3. Consistency of the group lasso and multiple kernel learning;Bach;J. Mach. Learn. Res.,2008

4. Deep learning and time series-to-image encoding for financial forecasting

5. Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection

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