Using probabilistic approach to joint clustering and statistical inference: Analytics for big investment data

Hua Fang, Honggang Wang, Chonggang Wang, Mahmoud Daneshmand

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

This paper proposes a Contrarian Probabilistic Model (CPM) to evaluate the effectiveness of contrarians' investment in preferred stocks using big data from Tradeline. CPM accommodates the unique features of investment data which are often correlated, nested, heterogeneous, non-normal with missing values. The clustering and statistical inference are integrated in CPM, which enables joint investment behavior trajectory pattern recognition and risk analyses based on the entire variance-covariance structure between and within clusters. The empirical study using CPM provides a finer and comprehensive evaluation of contrarian investment in preferred stocks. Two distinctive investment behavior trajectory clusters were identified, showing a few high-risk-seeking contrarians achieved high returns over five year long-term investment, while the majority of contrarians did not outperform glamour stockholders in preferred stock investment. Although CPM was developed using historical data, it could be developed into an analytical tool for online near real time big investment data analyses.

Original languageEnglish
Title of host publicationProceedings - 2015 IEEE International Conference on Big Data, IEEE Big Data 2015
EditorsFeng Luo, Kemafor Ogan, Mohammed J. Zaki, Laura Haas, Beng Chin Ooi, Vipin Kumar, Sudarsan Rachuri, Saumyadipta Pyne, Howard Ho, Xiaohua Hu, Shipeng Yu, Morris Hui-I Hsiao, Jian Li
Pages2916-2918
Number of pages3
ISBN (Electronic)9781479999255
DOIs
StatePublished - 22 Dec 2015
Event3rd IEEE International Conference on Big Data, IEEE Big Data 2015 - Santa Clara, United States
Duration: 29 Oct 20151 Nov 2015

Publication series

NameProceedings - 2015 IEEE International Conference on Big Data, IEEE Big Data 2015

Conference

Conference3rd IEEE International Conference on Big Data, IEEE Big Data 2015
Country/TerritoryUnited States
CitySanta Clara
Period29/10/151/11/15

Keywords

  • Big data
  • Clustering
  • Contrarian Investment
  • Contrarian Probabilistic Model
  • Statistical Inference
  • preferred stocks

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