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| Συλλογές | |
| Τίτλος |
Prediction of stock market index movement using machine learning techniques |
| Δημιουργός |
Impraimakis, Filippos |
| Συντελεστής |
Athens University of Economics and Business, Department of Economics Dimelis, Sophia Sakellaris, Plutarchos Kyriazidou, Ekaterini |
| Τύπος |
Text |
| Φυσική περιγραφή |
57 p. |
| Γλώσσα |
en |
| Περίληψη |
It goes without saying that the ability to predict the direction of stock/index is of paramount importance for the viability of the companies and individual investors. An accurate prediction of the sign of a stock index is an effective hedging strategy that can mitigate the risk level of companies. In essence, setting the risk is a mean that can yield a more efficient allocation of the companies' capital. In this study, eight different classification techniques were employed for the determination of the direction of the S&P 500. Two different approaches were used as inputs, first for the acquired principal components generated from PCA and second for our existing dataset. This comparison showed that Principal Component Analysis (PCA) negatively affect our results, except the KNN algorithm. Our experimental results verified the superiority of Support Vector Machines (SVM) in predicting financial time series. |
| Λέξη κλειδί |
Machine learning Prediction of stock market index movement Support Vector Machines (SVM) Financial forecasting Neural networks Nested cross-validation Trading Principal Component Analysis (PCA) Ridge & Lasso regression Random forests |
| Ημερομηνία έκδοσης |
28-02-2019 |
| Ημερομηνία κατάθεσης |
08-06-2019 |
| Δικαιώματα χρήσης |
Free access |
| Άδεια χρήσης |
https://creativecommons.org/licenses/by/4.0/ |