Naslov
Predicting Stock Market Trends Using Random Forests: A Sample of the Zagreb Stock Exchange

Autori
Manojlović, Teo ; Štajduhar, Ivan

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of MIPRO CIS - Intelligent Systems Conference, 2015 / Biljanović, Petar - Rijeka : Hrvatska udruga za informacijsku i komunikacijsku tehnologiju, elektroniku i mikroelektroniku - MIPRO, 2015, 1436-1440

ISBN
978-953-233-083-0

Skup
38th International Convention MIPRO 2015

Mjesto i datum
Opatija, Hrvatska, 25.05.2015. - 29.05.2015

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Stock market; Trend prediction; Technical indicators; Random forests; Machine learning

Sažetak
Stock market prediction is considered to be a challenging task for both investors and researchers, due to its profitability and intricate complexity. Highly accurate stock market predictive models are very often the basis for the construction of algorithms used in automated trading. In this paper, 5-days- ahead and 10-days-ahead predictive models are built using the random forests algorithm. The models are built on the historical data of the CROBEX index and on a few companies listed at the Zagreb Stock Exchange from various sectors. Several technical indicators, popular in quantitative analysis of stock markets, are selected as model inputs. The proposed method is empirically evaluated using stratified 10- fold crossvalidation, achieving an average classification accuracy of 76.5% for 5-days- ahead models and 80.8% for 10-daysahead models.

Izvorni jezik
Engleski

Znanstvena područja
Računarstvo, Ekonomija

POVEZANOST RADA