A comparative analysis of non-linear techniques in South African stock selection

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dc.contributor.advisorBosman, Petrusen_ZA
dc.contributor.authorHutheram, Nikhil Arnaidasen_ZA
dc.date.accessioned2015-12-09T14:44:05Z
dc.date.available2015-12-09T14:44:05Z
dc.date.issued2015en_ZA
dc.descriptionIncludes bibliographical referencesen_ZA
dc.description.abstractForecasting stock performance has long been one of the primary objectives of financial practitioners. Literature has shown that the classical linear approach to modelling the interactions among company-specific factors and its stock market re- turns in time have become less suited for capturing the movements of the stock market. Hence, attempts to predict the performance of a stock have become associated with additional layers of complexity. This has led to the adoption of non-linear approaches to forecast stock performance. This dissertation explores the performance of some non-linear models in the South African market. These were classification and regression trees (CART), logistic regression and a random forest approach com- pared against a linear regression model. Moreover, a hybrid model between CART and logistic regression was considered. The models fell into two categories (i.e., static and dynamic models). Using a set of classification and portfolio performance metrics it was found that that a dynamic modelling approach outperformed a static approach. Overall, the logistic and linear regression models dominated in terms of performance against the tree-based models and hybrid approaches. The results also demonstrated that a hybrid approach offered an improvement over a stand-alone CART.en_ZA
dc.identifier.apacitationHutheram, N. A. (2015). <i>A comparative analysis of non-linear techniques in South African stock selection</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/15732en_ZA
dc.identifier.chicagocitationHutheram, Nikhil Arnaidas. <i>"A comparative analysis of non-linear techniques in South African stock selection."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2015. http://hdl.handle.net/11427/15732en_ZA
dc.identifier.citationHutheram, N. 2015. A comparative analysis of non-linear techniques in South African stock selection. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Hutheram, Nikhil Arnaidas AB - Forecasting stock performance has long been one of the primary objectives of financial practitioners. Literature has shown that the classical linear approach to modelling the interactions among company-specific factors and its stock market re- turns in time have become less suited for capturing the movements of the stock market. Hence, attempts to predict the performance of a stock have become associated with additional layers of complexity. This has led to the adoption of non-linear approaches to forecast stock performance. This dissertation explores the performance of some non-linear models in the South African market. These were classification and regression trees (CART), logistic regression and a random forest approach com- pared against a linear regression model. Moreover, a hybrid model between CART and logistic regression was considered. The models fell into two categories (i.e., static and dynamic models). Using a set of classification and portfolio performance metrics it was found that that a dynamic modelling approach outperformed a static approach. Overall, the logistic and linear regression models dominated in terms of performance against the tree-based models and hybrid approaches. The results also demonstrated that a hybrid approach offered an improvement over a stand-alone CART. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - A comparative analysis of non-linear techniques in South African stock selection TI - A comparative analysis of non-linear techniques in South African stock selection UR - http://hdl.handle.net/11427/15732 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/15732
dc.identifier.vancouvercitationHutheram NA. A comparative analysis of non-linear techniques in South African stock selection. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/15732en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleA comparative analysis of non-linear techniques in South African stock selectionen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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