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Regular version of the site

Article

On some statistical procedures for stock selection problem

Annals of Mathematics and Artificial Intelligence. 2016. Vol. 76. No. 1. P. 47-57.
Koldanov P., Kalyagin V. A., Bautin G. A.

The problem of stock selection is disscused from different points of view. Three different sequentially rejective statistical procedures for stock selection are described and compared: Holm multiple test procedure, maximin multiple test procedure and multiple decision procedure. Properties of statistical procedures are studied for different loss functions. It is shown that conditional risk for additive loss function essentially depend from correlation matrix for maximin procedure and does not depend for multiple decision procedure. The dependence on correlation matrix is different for 0-1(zero-one) loss functions. Dependence of error probability and conditional risk on the selection threshold is studied as well.