Selenting Stocks Using a Genetic Algorithm: A Case of Real Estate Investment Trusts

• Autores: Kaveepong Lertwachara, James J. Cochran
• Localización: International journal of the computer, the internet and management, ISSN 0858-7027, Vol. 15, Nº. 2 (MAY -AGO), 2007, págs. 20-31
• Idioma: inglés
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• Resumen

  • Many investors invest according to the analysts’ recommendations. Some studies detect sizable abnormal returns associated with analysts’ 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 in identifying attractive stocks. The GA method has shown a promising performance as a tool for investors to 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.