Overview of Machine Learning for Stock Selection Based on Multi-Factor Models

In recent years, many scholars have used different methods to predict and select stocks. Empirical studies have shown that in multi-factor models, machine learning algorithms perform better on stock selection than traditional statistical methods. This article selects six classic machine learning algorithms, and takes the CSI 500 component stocks as an example, using 19 factors to select stocks. In this article, we introduce four of these algorithms in detail and apply them to select stocks. Finally, we back-test six machine learning algorithms, list the data, analyze the performance of each algorithm, and put forward some ideas on the direction of machine learning algorithm improvement.