A cautious ranking methodology with its application for stock screening
Authors: Peng Song, Jiye Liang, Yuhua Qian, Wei Wei, Feng Wang
Abstract:
To reasonably and effectively solve the ranking decision problem, there currently exist various meaningful methods that are focused on different perspectives. However, the ranking decision problem is a systematic issue thatinvolves data representation,the dominance relation, feature selection, and ranking mechanism. In this study, we aimed to build a novel ranking methodology by taking into account both the inherent multicriteria nature of practical decision situations and cautious decision makers' preferences. In order to better reveal the entirety of the data set, the form of interval data is introduced to characterize the ranges of attribute values. For the purpose of improving the decision performance, we develop a measurement called interval ordered conditional entropy to extract the most representative condition attributes having significant ordered relevance to the decision attribute. Based on the cautious dominance relation introduced for interval data, a two-step ranking mechanism with cautious characteristics is introduced that utilizes an interval ordered information table organized according to the previously selected informative attributes. In addition, the validity of this ranking method is tested through a detailed case study on stock screening decisions involving three successive rounds of tests. The corresponding results indicate the effectiveness of the methodological approach proposed in this paper.
Keywords： Interval data; Ranking decision; Rough sets; Information entropy; Stock screening
A cautious ranking methodology with its application for stock screening.pdf
Fri Nov 30 15:55:00 CST 2018