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A comparative analysis of non-linear techniques in South African stock selection
Includes bibliographical references
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2015
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| _version_ | 1867614342860505088 |
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| access_status_str | Open Access |
| author | Hutheram, Nikhil Arnaidas |
| author2 | Bosman, Petrus |
| author_browse | Bosman, Petrus Hutheram, Nikhil Arnaidas |
| author_facet | Bosman, Petrus Hutheram, Nikhil Arnaidas |
| author_sort | Hutheram, Nikhil Arnaidas |
| collection | Thesis |
| description | Includes bibliographical references |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/15732 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:50:31.738Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/15732 A comparative analysis of non-linear techniques in South African stock selection Hutheram, Nikhil Arnaidas Bosman, Petrus Mathematical Finance Includes bibliographical references 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. 2015-12-09T14:44:05Z 2015-12-09T14:44:05Z 2015 Master Thesis Masters MPhil http://hdl.handle.net/11427/15732 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Hutheram, Nikhil Arnaidas A comparative analysis of non-linear techniques in South African stock selection |
| thesis_degree_str | Master's |
| title | A comparative analysis of non-linear techniques in South African stock selection |
| title_full | A comparative analysis of non-linear techniques in South African stock selection |
| title_fullStr | A comparative analysis of non-linear techniques in South African stock selection |
| title_full_unstemmed | A comparative analysis of non-linear techniques in South African stock selection |
| title_short | A comparative analysis of non-linear techniques in South African stock selection |
| title_sort | comparative analysis of non linear techniques in south african stock selection |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/15732 |
| work_keys_str_mv | AT hutheramnikhilarnaidas acomparativeanalysisofnonlineartechniquesinsouthafricanstockselection AT hutheramnikhilarnaidas comparativeanalysisofnonlineartechniquesinsouthafricanstockselection |