Evaluation of Alternative Approaches in Classification Algorithms for Prediction of Stock Market Index (CROSBI ID 67642)
Prilog u knjizi | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Vlah Jerić, Silvija
hrvatski
Evaluation of Alternative Approaches in Classification Algorithms for Prediction of Stock Market Index
This chapter tackles the problem of automatic recognition of favorable days for intra-day trading. The problem is modeled as a binary classification problem and several approaches are tested for solving it. Croatian stock index CROBEX data is used and 22 technical indicators are calculated as predictor variables. Performance of five classifiers is evaluated and compared by using Cohen’s kappa as evaluation metric: artificial neural network, support network machine, random forest, k-nearest neighbors and naïve Bayes classifier. The results give insight to effectiveness of technical analysis in predicting the day favorability for CROBEX index and suggest that technical analysis makes sense and might work for this case.
Day Trading, Classification Problem, Neural Network, Support Vector Machine, Random Forest, K-Nearest Neighbors, Naïve Bayes, Crobex
nije evidentirano
engleski
Evaluation of Alternative Approaches in Classification Algorithms for Prediction of Stock Market Index
nije evidentirano
Day Trading, Classification Problem, Neural Network, Support Vector Machine, Random Forest, K-Nearest Neighbors, Naïve Bayes, Crobex
nije evidentirano
Podaci o prilogu
204-221.
objavljeno
10.4018/978-1-7998-5083-0.ch010
Podaci o knjizi
Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan
IGI Global
2020.
2327-5677