Data Descriptions

In this study, the experimental dataset contains 46 stocks that were collected from the Taiwan Economic Journal (TEJ) database from 2011/01/01 to 2015/12/31. The 46 stocks are selected from FTSE TWSE Taiwan 50 Index. When a company is in FTSE TWSE Taiwan 50 Index, it means that its market capitalization is among the top-50 in the Taiwan securities market. The 46 stock price series are shown in Fig. 4.

Fig. 4. The 46 stock price series.

In Fig. 4, the stock price trend of 46 stocks is shown. Most stocks fluctuate in the range of no more than 150. A small number of stocks fluctuate much even more than 400. The number of stocks’ industrial category is seventeen. In each category of the dataset, the number of stocks, the average of cash dividends and stock symbol are shown in Table 15.

Table 15. The information of all stock categories in dataset.

Stock Category Number of Stocks Avg. Cash

Dividends Stock Symbol

Semiconductor 4 1.124 3474 2330 2311 2325

2408

Table 15 shows that the number of stocks in each category is seventeen. The number of financial stocks is larger than orders in Taiwan 50 Index. The highest Avg. Cash Dividends of categories in Taiwan 50 Index is the car industry.

4.2 Analysis of Group Stock Portfolio

In this section, we analyze the derived diverse GSPs with investor sentiment index by the proposed approach. The training period is from 2011/1/1 to 2013/12/31. The results using formula (24) are shown in Table 16.

Table 16. The derived diverse GSPs with investor sentiment index.

The diverse GSP with investor sentiment index on the dataset.

Group and stock parts Stock portfolio

G1: { 4938, 1326, 2409, 2890, 1102, 2395 } 0.86 5.00 0.61 10.00 0.64 10.00 0.72 39.00 0.18 17.00 0.84 10.00 G2: { 3474, 2311, 2382, 2886 } Fitness Value= 17.06 G3: { 3481, 2303, 2002, 2880, 1216, 2891,

2325, 2105, 2308, 2408, 2301, 2881 } PortfolioSatisfaction= 51.07

G4: { 2207, 2912, 1476 } Group Balance= 2.82

G5: {2892, 2474, 1301, 9904, 2330, 3045,

4904, 2317, 2354, 2884, 6505 } Diversity=5.85 G6: { 2882, 1303, 2883, 1402, 2324, 2801,

1101, 2412, 2887, 2885 } (UB = 1.00, PB = 1.51)

In this example, 46 stocks are divided into 6 groups by this chromosome and 1536 (=

16*12*4*1*2) stock portfolios can be generated for the investors. Then, we focus on the stocks in the same groups. The stock-price series of the derived diverse GSP with investor sentiment index are shown in Fig. 5, Fig. 6, Fig. 7, Fig. 8, Fig. 9 and Fig. 10. In these figures, the horizontal axis represents the trading dates and the vertical axis the stock price.

Fig. 5. The stock-price series in Group1 of the chromosome.

Fig. 6. The stock-price series in Group2 of the chromosome.

Fig. 7. The stock-price series in Group3 of the chromosome.

Fig. 8. The stock-price series in Group4 of the chromosome.

Fig. 9. The stock-price series in Group5 of the chromosome.

Fig. 10. The stock-price series in Group6 of the chromosome.

The Fig. 5 shows that 1326 and 2395 are different from orders in Group1. The Fig. 6 shows that 3474 is different from orders in Group2. The Fig. 7 shows that 2105 and 2308 are different from orders in Group3. The Fig. 8 shows that the stocks is similar in Group4. The Fig.

9 shows that 2474 is different from orders in Group5. The Fig. 10 shows that 1303 and 2412 are different from orders in Group6.

4.3 Comparison of the Proposed Approach and Existing Approach

In this section, experiments show the profits of DGSPs with the investor sentiment index.

For this goal, we compare this proposed approach with the existing approach. Both the proposed approach and the existing approach are used for finding DGSPs. However, the proposed approach contains the concept of investor sentiment and trading strategy, but the existing approach does not. The input data and experimental parameters were set the same in two experiments. Here, we use three standards to compare the profits of approaches, including average ROI, maximum ROI and minimum ROI. The Cbest values executing ten runs by our approach and the previous DGSP are shown in Table 17.

Table 17. The comparison results of two approaches with ten GSPs.

Cbest AvgROI MaxROI MinROI avgAvgROI avgMaxROI avgMinROI C1new 0.336 0.394 0.271 average value of ten MaxROIs, and the avgMinROI represents the average value of MinROIs.

Although the avgMaxROI of the proposed approach is lower than the existing approach, the most important standard avgAvgROI and the avgMinROI of the proposed approach are higher than the existing approach. Finally, we can conclude that diverse GSPs with investor sentiment index can provide a more stable return than the diverse GSPs without investor sentiment index.

CHAPTER 5

Conclusion and Future Work

In this paper, we have proposed an approach for obtaining a diverse group stock portfolio by the group genetic algorithm with investor sentiment index. We add the concept of investor sentiment to the previous approach, and provide the appropriate opportunity for trading stocks to the stock portfolio. In the investor sentiment part, we use the interaction of two investor sentiment indices to figure out the actual investor sentiment. Then, we use the investor sentiment to define the trading strategy. The trading strategy is used to determine the buying timing and selling timing for each stock. With the trading timing, we get the stock prices of all stocks. Based on the previous approach, we design a new factor, the risk of investor sentiment (RIS), related to investor sentiment to enhance the efficiency of finding a diverse group stock portfolio. In the experiment, we show the performance of the proposed approach by comparing the proposed approach with the existing approach. The result shows that the proposed approach can have a better return than the previous approach. It means that the derived diverse group stock portfolio with investor sentiment index can provide a more stable return than the previous approach.

In the future, more investor sentiment indices will join to improve the efficiency of the proposed approach.

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