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A Survey of Systems for Predicting S...

Caley, Jeffrey Allan.

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A Survey of Systems for Predicting Stock Market Movements, Combining Market Indicators and Machine Learning Classifiers.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	A Survey of Systems for Predicting Stock Market Movements, Combining Market Indicators and Machine Learning Classifiers./
作者:	Caley, Jeffrey Allan.
面頁冊數:	120 p.
附註:	Source: Masters Abstracts International, Volume: 51-05.
Contained By:	Masters Abstracts International51-05(E).
標題:	Engineering, Computer. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1535828
ISBN:	9781303028182

A Survey of Systems for Predicting Stock Market Movements, Combining Market Indicators and Machine Learning Classifiers.
Caley, Jeffrey Allan.

A Survey of Systems for Predicting Stock Market Movements, Combining Market Indicators and Machine Learning Classifiers. - 120 p.

Source: Masters Abstracts International, Volume: 51-05.

Thesis (M.S.)--Portland State University, 2013.

In this work, we propose and investigate a series of methods to predict stock market movements. These methods use stock market technical and macroeconomic indicators as inputs into different machine learning classifiers. The objective is to survey existing domain knowledge, and combine multiple techniques into one method to predict daily market movements for stocks. Approaches using nearest neighbor classification, support vector machine classification, K-means classification, principal component analysis and genetic algorithms for feature reduction and redefining the classification rule were explored. Ten stocks, 9 companies and 1 index, were used to evaluate each iteration of the trading method. The classification rate, modified Sharpe ratio and profit gained over the test period is used to evaluate each strategy. The findings showed nearest neighbor classification using genetic algorithm input feature reduction produced the best results, achieving higher profits than buy-and-hold for a majority of the companies.

ISBN: 9781303028182Subjects--Topical Terms:

1669061
Engineering, Computer.

A Survey of Systems for Predicting Stock Market Movements, Combining Market Indicators and Machine Learning Classifiers.
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