Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market

Syu, Jia-Hao; Yeh, Yi-Ren; Wu, Mu-En; Ho, Jan-Ming

doi:10.3390/math9101093

Open AccessArticle

Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market

¹

Department of Computer Science and Information Engineering, National Taiwan University, Taipei 10617, Taiwan

²

Department of Mathematics, National Kaohsiung Normal University, Kaohsiung 82444, Taiwan

³

Department of Information and Finance Management, National Taipei University of Technology, Taipei 10608, Taiwan

⁴

Institute of Information Science, Academia Sinica, Taipei 11529, Taiwan

^*

Author to whom correspondence should be addressed.

Mathematics 2021, 9(10), 1093; https://doi.org/10.3390/math9101093

Submission received: 15 April 2021 / Revised: 6 May 2021 / Accepted: 7 May 2021 / Published: 12 May 2021

(This article belongs to the Special Issue Multi-Criteria Decision Making and Data Mining)

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Abstract

A well-established financial trading system should well perform in resource allocation, risk management, and sustainability. In this paper, we propose a self-management portfolio system with adaptive association mining for practical applications. The system allocates funds into independent units for risk management, and utilizes association mining and adaptive closing mechanism for resource allocation and sustainability, and adopts a self-management module for monitoring positions. The proposed system boosts the annual return and Sharpe ratio to 9.1% and 0.578 (increased to 2.28 and 2.48 times), and reduces the drawdown risk to 34.6% (decreased to almost half). Furthermore, the system rapidly closes the stock positions to avoid drawdown risk in the bear markets, and gradually increases the stock positions when the market turns into bull. Compared with benchmarks, proposed system outperforms all benchmarks in all measurements and on randomly sampled dataset.

Keywords: portfolio system; data mining; resource allocation; risk management; practical applications; hybrid decision-making analysis

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MDPI and ACS Style

Syu, J.-H.; Yeh, Y.-R.; Wu, M.-E.; Ho, J.-M. Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market. Mathematics 2021, 9, 1093. https://doi.org/10.3390/math9101093

AMA Style

Syu J-H, Yeh Y-R, Wu M-E, Ho J-M. Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market. Mathematics. 2021; 9(10):1093. https://doi.org/10.3390/math9101093

Chicago/Turabian Style

Syu, Jia-Hao, Yi-Ren Yeh, Mu-En Wu, and Jan-Ming Ho. 2021. "Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market" Mathematics 9, no. 10: 1093. https://doi.org/10.3390/math9101093

APA Style

Syu, J.-H., Yeh, Y.-R., Wu, M.-E., & Ho, J.-M. (2021). Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market. Mathematics, 9(10), 1093. https://doi.org/10.3390/math9101093

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Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market

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