Stock Market Investment Advice: A Social Network Approach

摘要

Making investment decision on various available stocks in the market is a challenging task. Econometric and statistical models, as well as machine learning and data mining techniques, have proposed heuristic based solutions with limited long-range success. In practice, the capabilities and intelligence of financial experts is required to build a managed portfolio of stocks. However, for non-professional investors, it is too complicated to make subjective judgments on available stocks and thus they might be interested to follow an expert's investment decision. For this purpose, it is critical to find an expert with similar investment preferences. In this work, we propose to benefit from the power of Social Network Analysis in this domain. We first build a social network of financial experts based on their publicly available portfolios. This social network is then used for further analysis to recommend an appropriate managed portfolio to non-professional investors based on their behavioral similarities to the expert investors. This approach is evaluated through a case study on real portfolios. The result shows that the proposed portfolio recommendation approach works well in terms of Sharpe ratio as the portfolio performance metric.