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In stock trading, a common phenomenon is that the trends of stocks in the same industry are very similar. In contrast, the movements of stocks in different industries are often different. Therefore, applying the same model to all stock trading is inappropriate without distinguishing the industries in which the stocks belong. However, recommending an optimal industry stock trading model is very challenging based on performance evaluation indicators. First, the indicators of the trading model are diverse. Second, the ranking of multiple indicators is often inconsistent. In the paper, we model the problem to be solved as a multi-criteria decision-making process. Therefore, we first divide stock dataset into nine industries according to their main business. Then, we apply several machine learning algorithms as candidate models to generate trading signals. Second, we conduct daily trading backtesting based on the trading signals to obtain multiple performance evaluation indicators. Third, we propose an optimal recommendation algorithm for the industry stock trading model with TODIM. The experimental results in the US stock market and China's A-share market show that the proposed algorithm can get a better trading model out-of-sample industry stock. Moreover, we effectively evaluate the generalization ability of the algorithm based on the proposed metrics. Finally, the proposed long–short portfolios based on the algorithm have achieved returns exceeding the benchmark on most out-of-sample datasets. [ABSTRACT FROM AUTHOR]

This paper is concerned with the ℓ 1 , ∞ -norm ball constrained multi-task learning problem, which has received extensive attention in many research areas such as machine learning, cognitive neuroscience, and signal processing. To address the challenges of solving large-scale multi-task Lasso problems, this paper develops an inexact semismooth Newton-based augmented Lagrangian (Ssnal) algorithm. When solving the inner problems in the Ssnal algorithm, the semismooth Newton (Ssn) algorithm with superlinear or even quadratic convergence is applied. Theoretically, this paper presents the global and asymptotically superlinear local convergence of the Ssnal algorithm under standard conditions. Computationally, we derive an efficient procedure to construct the generalized Jacobian of the projector onto ℓ 1 , ∞ -norm ball, which is an important component of the Ssnal algorithm, making the computational cost in the Ssn algorithm very cheap. Comprehensive numerical experiments on the multi-task Lasso problems demonstrate that the Ssnal algorithm is more efficient and robust than several existing state-of-the-art first-order algorithms. [ABSTRACT FROM AUTHOR]