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Intraday trading strategy based on time series and machine learning for Chinese stock market

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arxiv 2103.13507 v1 pith:IHGQNQZC submitted 2021-03-24 q-fin.TR

classification q-fin.TR
keywords stockstrategyintradaymarkowitzoptimizationtradingexchangearticle
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This article comes up with an intraday trading strategy under T+1 using Markowitz optimization and Multilayer Perceptron (MLP) with published stock data obtained from the Shenzhen Stock Exchange and Shanghai Stock Exchange. The empirical results reveal the profitability of Markowitz portfolio optimization and validate the intraday stock price prediction using MLP. The findings further combine the Markowitz optimization, an MLP with the trading strategy, to clarify this strategy's feasibility.

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