Evaluation and comparison net assets value of joint investment funds using support machine models versus statistical models - A case study from FEAS member countries

Today, choosing the suitable model for determining the portfolio of investment in financial assets is one of the critical issues of the attention of analysts and capital market activists, and investing in a portfolio consisting of mutual investment funds is the same. With this statement, the purpose of the article is to evaluate and compare the net assets value (return) of the Federation of Asian and European Stock Exchanges (FEAS) member countries by using support machine models in comparison with statistical models. The statistical and sample population included the data of ۳۹ selected traded funds and FEAS members from ۱۲ selected countries (including Iran) between ۲۰۱۴ and ۲۰۲۱. The data related to the mentioned funds were classified and analyzed using spss-modeler, rapid miner, and Weka software. They were tested with ۲۴ support machine methods and ۱۱ statistical methods, and the results showed that the prediction accuracy of statistical models is lower than that of support machine models. The Mann-Whitney test was used to determine the significance of this difference. Also, the results show that at the ۹۵% confidence level, it can be claimed that the prediction accuracy of machine learning models is higher than statistical models. The average rating of machine learning models was (۲۰.۸۶) much higher than statistical models (۱۰.۸۵).

کلیدواژه ها:

mutual funds of Tehran Stock Exchange ، Support Vector Machine ، return of investment fund