Beat Wash-Sale Tax with Multigraph Convolutional Neural Networks Based Trading Strategy
Stock forecasting is a method that uses historical data and mathematical models to predict the future movement of stocks. It gives an indication of how much profit or loss an investment can make. The use of machine learning for stock forecasting has been widely. But many studies do not take into acc...
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| Veröffentlicht in: | Security and communication networks 2022-07, Vol.2022, p.1-18 |
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| container_title | Security and communication networks |
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| creator | Wang, Qinan Jiang, Weiwei |
| description | Stock forecasting is a method that uses historical data and mathematical models to predict the future movement of stocks. It gives an indication of how much profit or loss an investment can make. The use of machine learning for stock forecasting has been widely. But many studies do not take into account correlations between stocks and likelihood that frequent trading could trigger the wash-sale tax rule. Higher taxes cost could offset positive profits. In this study, we proposed a framework based on graph convolutional network, extracting the interdependencies of stocks to increase the prediction accuracy to 62%. Also, we included tax in the calculation of overall net income in simulated trading and tried different constraints on trades to see whether our new model can generate profits high enough to cover the required taxes. The results with 795.5% net return for two years validated the effectiveness of our model and trading strategy. |
| doi_str_mv | 10.1155/2022/3598285 |
| format | Article |
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| source | Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; Wiley-Blackwell Open Access Titles; Alma/SFX Local Collection |
| subjects | Algorithms Artificial intelligence Artificial neural networks Automation Constraint modelling Discriminant analysis Forecasting Machine learning Neural networks Profits Regression analysis Stock exchanges Support vector machines Taxes |
| title | Beat Wash-Sale Tax with Multigraph Convolutional Neural Networks Based Trading Strategy |
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