Selecting Stocks Using A Genetic Algorithm: A Case of Real Estate Investment Trusts (REITs)

Name: Kaveepong Lertwachara

Organization : Thammasat University, College of Innovative Education

keyword: analysts' recommendation

; genetic algorithm

; cluster analysis

; real estate investment trusts

Abstract: Many investors invest according to analysts' recommendations, but some studies detect sizable abnormal returns associated with those recommendations. A tool that imitates the mechanism of the recommendation process should enable individual investors to formulate a profitable investment strategy and to select stocks that analysts have not covered. This paper presents a genetic algorithm (GA) method for identifying attractive stocks. The GA method has shown promising performance as a tool with which investors can develop a profitable investment strategy. GA is able to pick stocks with a "buy" rating at 62.50%, compared to 36.45% for stocks picked at random.

Kasetsart University. Office of the University Library

Address: BANGKOK

Email: tdckulib@ku.ac.th

Created: ม.ค.-เม.ย. 2550

Modified: 2552-10-10

Issued: 2009-10-10

บทความ/Article

application/pdf

วิทยาสารเกษตรศาสตร์ (สาขาสังคมศาสตร์), 28(1) หน้า 106-116

eng

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