Comparison of the Proposed Approach and Existing Approaches

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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