This document summarizes a study that used three data mining techniques - Decision Tree, Random Forest, and Naive Bayesian Classifier - to predict the direction of movement of the Tehran Stock Exchange index. Ten microeconomic and three macroeconomic variables were used as inputs to models built with each technique. The Decision Tree model was found to have the best performance at 80.08% accuracy, followed by Random Forest at 78.81% and Naive Bayesian Classifier at 73.84% based on testing the models on 20% of the data not used for training. The study aimed to develop predictive models for the emerging Tehran stock market using classification techniques from data mining.
A LINEAR REGRESSION APPROACH TO PREDICTION OF STOCK MARKET TRADING VOLUME: A ...ijmvsc
Predicting daily behavior of stock market is a serious challenge for investors and corporate stockholders and it can help them to invest with more confident by taking risks and fluctuations into consideration. In this paper, by applying linear regression for predicting behavior of S&P 500 index, we prove that our proposed method has a similar and good performance in comparison to real volumes and the stockholders can invest confidentially based on that.
This paper investigates if forecasting models based on Machine Learning (ML) Algorithms are capable to predict intraday prices in the small, frontier stock market of Romania. The results show that this is indeed the case. Moreover, the prediction accuracy of the various models improves as the forecasting horizon increases. Overall, ML forecasting models are superior to the passive buy and hold strategy, as well as to a naïve strategy that always predicts the last known price action will continue. However, we also show that this superior predictive ability cannot be converted into “abnormal”, economically significant profits after considering transaction costs. This implies that intraday stock prices incorporate information within the accepted bounds of weak-form market efficiency, and cannot be “timed” even by sophisticated investors equipped with state of the art ML prediction models.
Now knowledge pre-processing, model and reasoning issues, power metrics, quality
issues, post-processing of discovered structures, visualization, and on-line change is best challenge.
In this paper Neural Network based forecasting of stock prices of selected sectors under Bombay
Stock Exchange show that neural networks have the power to predict prices albeit the volatility in the
markets[9]. The motivation for the development of neural network technology stemmed from the
desire to develop an artificial system that could perform “intelligent" tasks similar to those performed
by the human brain. Artificial Neural Networks are being counted as the wave of the future in
computing. They are indeed self-learning mechanisms which don’t require the traditional skills of a
programmer. Back propagation is one of the approaches to implement concept of neural networks.
Back propagation is a form of supervised learning for multi-layer nets. Error data at the output layer
is back propagated to earlier ones, allowing incoming weights to these layers to be updated. It is most
often used as training algorithm in current neural network applications. In this paper, we apply data
mining technology to stock market in order to research the trend of price; it aims to predict the future
trend of the stock market and the fluctuation of price. This paper points out the shortage that exists in
current traditional statistical analysis in the stock, then makes use of BP neural network algorithm to
predict the stock market by establishing a three-tier structure of the neural network, namely input
layer, hidden layer and output layer. Finally, we get a better predictive model to improve forecast
accuracy
its a presentation on stock market analysis using Genetic algorithm with Neural networks ,based on a scientific paper
,made in Cairo university under Supervision of prof.Dr. Magda
In literature of time series prediction the autoregressive integrated moving
average(ARIMA) models have been explained clearly. This paper using the ARIMA
model, elaborates the process of building stock trend predictive model. Published
data of stock price obtained from National Stock Exchange (NSE) during the period
from Jan-2007 to Dec-2011. The results obtained revealed that for short-term
prediction the ARIMA model which has a strong prospects and for stock price
prediction even it can be positively compete with existing techniques.
Stock Market Prediction and Investment Portfolio Selection Using Computationa...iosrjce
IOSR Journal of Computer Engineering (IOSR-JCE) is a double blind peer reviewed International Journal that provides rapid publication (within a month) of articles in all areas of computer engineering and its applications. The journal welcomes publications of high quality papers on theoretical developments and practical applications in computer technology. Original research papers, state-of-the-art reviews, and high quality technical notes are invited for publications.
The usage of Neural network s has determined a variegated area of packages in the present world. This has caused the
improvement of various fashions for economic markets and funding. This paper represents the idea the way to predict share
market fee the use of artificial Neural community with a given enter parameters of share marketplace. The proportion
marketplace is dynamic in nature approach to expect percentage fee could be very complex method by using trendy prediction
or computation method. Its predominant motive is that there is no linear relationship between market parameters and target last
price. Since there is no linear relationship between input patterns and corresponding output patterns, so use of neural network is
a desire of hobby for share market prediction.
A LINEAR REGRESSION APPROACH TO PREDICTION OF STOCK MARKET TRADING VOLUME: A ...ijmvsc
Predicting daily behavior of stock market is a serious challenge for investors and corporate stockholders and it can help them to invest with more confident by taking risks and fluctuations into consideration. In this paper, by applying linear regression for predicting behavior of S&P 500 index, we prove that our proposed method has a similar and good performance in comparison to real volumes and the stockholders can invest confidentially based on that.
This paper investigates if forecasting models based on Machine Learning (ML) Algorithms are capable to predict intraday prices in the small, frontier stock market of Romania. The results show that this is indeed the case. Moreover, the prediction accuracy of the various models improves as the forecasting horizon increases. Overall, ML forecasting models are superior to the passive buy and hold strategy, as well as to a naïve strategy that always predicts the last known price action will continue. However, we also show that this superior predictive ability cannot be converted into “abnormal”, economically significant profits after considering transaction costs. This implies that intraday stock prices incorporate information within the accepted bounds of weak-form market efficiency, and cannot be “timed” even by sophisticated investors equipped with state of the art ML prediction models.
Now knowledge pre-processing, model and reasoning issues, power metrics, quality
issues, post-processing of discovered structures, visualization, and on-line change is best challenge.
In this paper Neural Network based forecasting of stock prices of selected sectors under Bombay
Stock Exchange show that neural networks have the power to predict prices albeit the volatility in the
markets[9]. The motivation for the development of neural network technology stemmed from the
desire to develop an artificial system that could perform “intelligent" tasks similar to those performed
by the human brain. Artificial Neural Networks are being counted as the wave of the future in
computing. They are indeed self-learning mechanisms which don’t require the traditional skills of a
programmer. Back propagation is one of the approaches to implement concept of neural networks.
Back propagation is a form of supervised learning for multi-layer nets. Error data at the output layer
is back propagated to earlier ones, allowing incoming weights to these layers to be updated. It is most
often used as training algorithm in current neural network applications. In this paper, we apply data
mining technology to stock market in order to research the trend of price; it aims to predict the future
trend of the stock market and the fluctuation of price. This paper points out the shortage that exists in
current traditional statistical analysis in the stock, then makes use of BP neural network algorithm to
predict the stock market by establishing a three-tier structure of the neural network, namely input
layer, hidden layer and output layer. Finally, we get a better predictive model to improve forecast
accuracy
its a presentation on stock market analysis using Genetic algorithm with Neural networks ,based on a scientific paper
,made in Cairo university under Supervision of prof.Dr. Magda
In literature of time series prediction the autoregressive integrated moving
average(ARIMA) models have been explained clearly. This paper using the ARIMA
model, elaborates the process of building stock trend predictive model. Published
data of stock price obtained from National Stock Exchange (NSE) during the period
from Jan-2007 to Dec-2011. The results obtained revealed that for short-term
prediction the ARIMA model which has a strong prospects and for stock price
prediction even it can be positively compete with existing techniques.
Stock Market Prediction and Investment Portfolio Selection Using Computationa...iosrjce
IOSR Journal of Computer Engineering (IOSR-JCE) is a double blind peer reviewed International Journal that provides rapid publication (within a month) of articles in all areas of computer engineering and its applications. The journal welcomes publications of high quality papers on theoretical developments and practical applications in computer technology. Original research papers, state-of-the-art reviews, and high quality technical notes are invited for publications.
The usage of Neural network s has determined a variegated area of packages in the present world. This has caused the
improvement of various fashions for economic markets and funding. This paper represents the idea the way to predict share
market fee the use of artificial Neural community with a given enter parameters of share marketplace. The proportion
marketplace is dynamic in nature approach to expect percentage fee could be very complex method by using trendy prediction
or computation method. Its predominant motive is that there is no linear relationship between market parameters and target last
price. Since there is no linear relationship between input patterns and corresponding output patterns, so use of neural network is
a desire of hobby for share market prediction.
The stock exchange is an important apparatus for economic growth as it is an opportunity for investors to acquire equity and, at the same time, provide resources for organizations expansions. On the other hand, a major concern regarding entering this market is related with the dynamic in which deals are made since the pricing of shares happens in a smart and oscillatory way. Due to this context, several researchers are studying techniques in order to predict the stock exchange, maximize profits and reduce risks. Thus, this study proposes a linear regression model for stock exchange prediction which, combined with financial indicators, provides support decision-making by investors.
Re-mining Positive and Negative Association Mining Resultsertekg
Download Link > https://ertekprojects.com/gurdal-ertek-publications/blog/re-mining-positive-and-negative-association-mining-results/
Positive and negative association mining are well-known and extensively studied data mining techniques to analyze market basket data. Efficient algorithms exist to find both types of association, sepa-rately or simultaneously. Association mining is performed by operating on the transaction data. Despite being an integral part of the transaction data, the pricing and time information has not been incorporated into market basket analysis so far, and additional attributes have been han-dled using quantitative association mining. In this paper, a new approach is proposed to incorporate price, time and domain related attributes into data mining by re-mining the association mining results. The underlying factors behind positive and negative relationships, as indicated by the as-sociation rules, are characterized and described through the second data mining stagere-mining. The applicability of the methodology is demon-strated by analyzing data coming from apparel retailing industry, where price markdown is an essential tool for promoting sales and generating increased revenue.
APPLICATION OF FACEBOOK'S PROPHET ALGORITHM FOR SUCCESSFUL SALES FORECASTING ...ijnlc
This paper presents a framework capable of accurately forecasting future sales in the retail industry and classifying the product portfolio according to the expected level of forecasting reliability. The proposed framework, that would be of great use for any company operating in the retail industry, is based on Facebook's Prophet algorithm and backtesting strategy. Real-world sales forecasting benchmark data obtained experimentally in a production environment in one of the biggest retail companies in Bosnia and Herzegovina is used to evaluate the framework and demonstrate its capabilities in a real-world use case scenario
Study of effectiveness of time series modeling (arima) in forecasting stock p...IJCSEA Journal
Stock price prediction has always attracted interest because of the direct financial benefit and the
associated complexity. From our literature review, we felt the need of a study having sector specific
analysis with a broad range of stocks. In this paper, we have conducted a study on the effectiveness of
Autoregressive Integrated Moving Average (ARIMA)model, on fifty six Indian stocks from different sectors.
We have chosen ARIMA model, because of its simplicity and wide acceptability of the model. We also have
studied the effect on prediction accuracy based on various possible previous period data taken. The
comparison and parameterization of the ARIMA model have been done using Akaike information criterion
(AIC). The contribution of the paper , are a) coverage of a good number of Indian stocks b) Analysis of the
models based on sectors c) Analysis of prediction accuracy based on the varying span of previous period
data.
A Comparison of Hsu &Wang Model and Cost of Carry Model: The case of Stock In...iosrjce
The study empirically tests and compares the pricing performance of two alternative futures pricing
models; the standard Cost of Carry Model and Hsu & Wang Model (2004) for three futures indices of National
Stock Exchange (NSE), India – CNX Nifty futures, Bank Nifty futures and CNX IT futures. It is found that, the
Hsu & Wang Model with an argument of incomplete arbitrage mechanism and real capital markets are
imperfect, provides much better pricing performance than the standard Cost of Carry Model for all the three
futures markets. On the basis of Mean Absolute Pricing Error (MAPE), CNX Nifty Futures contract with highest
trading history and trading volume is preferred, followed by Bank Nifty futures and CNX IT futures contract for
both the pricing models. This result implies that Indian futures markets are imperfect and arbitrage process
cannot complete. Degree of market imperfection might influence the pricing error. Therefore, investors should
know the degree of market imperfection of the futures markets in which they would like to participate.
Applications of Artificial Neural Network in Forecasting of Stock Market Indexpaperpublications3
Abstract: Prediction in any field is a challenging and unnerving process. Stock market is a promising financial investment that can generate great wealth. However, under the impact of Globalization Stock Market Prediction (SMP) accuracy has become more challenging and rewarding for the researchers and participants in the stock market. Artificial Neural Networks (ANN) have been found to be an efficient tool in modeling stock prices and quite a large number of studies have been done on it. ANN modeling of stock prices of selected stocks under NSE is attempted to predict the next day’s price. The network developed consists of one input layer, hidden layer and output layer with four, nine and one nodes respectively. The input being the closing price of the previous four days and output being the price for the next day. In the first section the adaptability of neural networks in stock market prediction is discussed, in the second section we discuss the traditional methods that were being used earlier for stock market prediction, in the third section we discuss the justification for using neural networks and how it is better over traditional methods, in the fourth section we discuss the basics of neural networks, section five gives an overview of data and methodology being used, in section six we have discussed the various forecasting errors methods to calculate the error, in section seven we have presented our results. The aim of this paper is to provide an overview of the application of artificial neural network in stock market prediction.
A model for profit pattern mining based on genetic algorithmeSAT Journals
Abstract
Mining profit oriented patterns is a novel technique of association rule mining in data mining, which basically focuses on important issues related with business. As it is well known that every business aims to generate the profit and find the ways to improve the same. In earlier days association rule mining was used for market basket analysis and targeted only some of the business and commercial aspects. Afterwards the researchers started to aim the most prominent element of any business i.e. Profit, and determined the innovative way to generate the association rules based on profit. Profit oriented patterns mining approach combines the statistic based pattern mining with value-based decision making to generate those patterns with the maximum profit and some ways to generate recommenders for future strategy. To achieve the desired goal the traditional association rule mining alone is not effectual, so we combine the strength of genetic algorithm with association rule mining to enhance its capability. The study shows that Genetic Algorithm improves the effectiveness and efficiency of association rule mining outcome, since genetic algorithms are competent to handle the problems related with the uncertainty, multi-dimensional, non-differential, non-continuous, and non-parametrical, non-linearity constraint and multi-objective optimization problems. In this paper we apply the concept of profit pattern mining with genetic algorithm to generate profit oriented pattern which help out in future business expansion and fulfill the business objective.
Keywords: Data Mining, Association Rule Mining, Profit Pattern Mining, Genetic Algorithm
Re-Mining Item Associations: Methodology and a Case Study in Apparel Retailingertekg
Download Link > https://ertekprojects.com/gurdal-ertek-publications/blog/re-mining-item-associations-methodology-and-a-case-study-in-apparel-retailing/
Association mining is the conventional data mining technique for analyz-ing market basket data and it reveals the positive and negative associations between items. While being an integral part of transaction data, pricing and time information have not been integrated into market basket analy-sis in earlier studies. This paper proposes a new approach to mine price, time and domain related attributes through re-mining of association mining results. The underlying factors behind positive and negative relationships can be characterized and described through this second data mining stage. The applicability of the methodology is demonstrated through the analy-sis of data coming from a large apparel retail chain, and its algorithmic complexity is analyzed in comparison to the existing techniques.
Structure Analysis of a Turbocharger Compressor Wheel Using FEAIJERA Editor
When people talk about race cars or high-performance sports cars, the topic of turbochargers usually comes up. Turbochargers also appear on large diesel engines. A turbo can significantly boost an engine's horsepower without significantly increasing its weight, which is the huge benefit that makes turbos so popular. Turbochargers are a type of forced induction system. They compress the air flowing into the engine. The advantage of compressing the air is that it lets the engine squeeze more air into a cylinder, and more air means that more fuel can be added. Therefore, you get more power from each explosion in each cylinder. Here in this project we are designing the compressor wheel by using Pro-E and doing analysis by using FEA package. The main aim of the project is to increase the performance of the compressor wheel for this we are changing the material and also we are changing the existing design. By comparing the results we will get the best model from this data we suggests the design modifications to the company to improve the performance of the compressor wheel.
Peer-to-Peer content distribution using automatically recombined fingerprintsIJERA Editor
Due to the recent advances in broad-band network and multimedia technologies, the distribution of multimedia
contents are increasing. This will help a malicious party to duplicate and redistribute the contents; hence the
protection of the ownership is required in multimedia content distribution. The encryption of content cannot
solve the issue, because it must be ultimately decrypted at genuine users who have legal authority to distribute
content. Therefore, additional protection mechanisms are needed to discourage unauthorized redistribution. One
of the mechanisms is to generate the fingerprinting of multimedia which enables a seller to trace illegal users by
embedding identification information into the content. The research on fingerprinting techniques is classified
into two studies: collusion resistant fingerprinting systems and cryptographic protocol. Since each user
download content with his/her own fingerprint and content is a little different. If users collect some of them,
they try to find the difference and modify/delete the embedded information. Unicast transmission is applied in
multimedia content distribution which will be give more security to buyers. Merchant will create number of seed
buyers who need to distribute the content to child buyers. All the seed buyers should be online to distribute the
content. The seed buyer and child buyer fingerprint are need to store in database which will be required to find
the illegal redistribution.
Implementation for Controller to Unified Single Phase Power Flow Using Digita...IJERA Editor
Presenting in his paper, Digital signal processor (DSP)-based implementation of a single phase unified power flow controller (UPFC). For shunt side and series side An efficient UPFC control algorithm is achieved. Discussing the laboratory experimental results using DC source are taken as an UPFC linked by two ll-bridge PWM voltage source converters.
The stock exchange is an important apparatus for economic growth as it is an opportunity for investors to acquire equity and, at the same time, provide resources for organizations expansions. On the other hand, a major concern regarding entering this market is related with the dynamic in which deals are made since the pricing of shares happens in a smart and oscillatory way. Due to this context, several researchers are studying techniques in order to predict the stock exchange, maximize profits and reduce risks. Thus, this study proposes a linear regression model for stock exchange prediction which, combined with financial indicators, provides support decision-making by investors.
Re-mining Positive and Negative Association Mining Resultsertekg
Download Link > https://ertekprojects.com/gurdal-ertek-publications/blog/re-mining-positive-and-negative-association-mining-results/
Positive and negative association mining are well-known and extensively studied data mining techniques to analyze market basket data. Efficient algorithms exist to find both types of association, sepa-rately or simultaneously. Association mining is performed by operating on the transaction data. Despite being an integral part of the transaction data, the pricing and time information has not been incorporated into market basket analysis so far, and additional attributes have been han-dled using quantitative association mining. In this paper, a new approach is proposed to incorporate price, time and domain related attributes into data mining by re-mining the association mining results. The underlying factors behind positive and negative relationships, as indicated by the as-sociation rules, are characterized and described through the second data mining stagere-mining. The applicability of the methodology is demon-strated by analyzing data coming from apparel retailing industry, where price markdown is an essential tool for promoting sales and generating increased revenue.
APPLICATION OF FACEBOOK'S PROPHET ALGORITHM FOR SUCCESSFUL SALES FORECASTING ...ijnlc
This paper presents a framework capable of accurately forecasting future sales in the retail industry and classifying the product portfolio according to the expected level of forecasting reliability. The proposed framework, that would be of great use for any company operating in the retail industry, is based on Facebook's Prophet algorithm and backtesting strategy. Real-world sales forecasting benchmark data obtained experimentally in a production environment in one of the biggest retail companies in Bosnia and Herzegovina is used to evaluate the framework and demonstrate its capabilities in a real-world use case scenario
Study of effectiveness of time series modeling (arima) in forecasting stock p...IJCSEA Journal
Stock price prediction has always attracted interest because of the direct financial benefit and the
associated complexity. From our literature review, we felt the need of a study having sector specific
analysis with a broad range of stocks. In this paper, we have conducted a study on the effectiveness of
Autoregressive Integrated Moving Average (ARIMA)model, on fifty six Indian stocks from different sectors.
We have chosen ARIMA model, because of its simplicity and wide acceptability of the model. We also have
studied the effect on prediction accuracy based on various possible previous period data taken. The
comparison and parameterization of the ARIMA model have been done using Akaike information criterion
(AIC). The contribution of the paper , are a) coverage of a good number of Indian stocks b) Analysis of the
models based on sectors c) Analysis of prediction accuracy based on the varying span of previous period
data.
A Comparison of Hsu &Wang Model and Cost of Carry Model: The case of Stock In...iosrjce
The study empirically tests and compares the pricing performance of two alternative futures pricing
models; the standard Cost of Carry Model and Hsu & Wang Model (2004) for three futures indices of National
Stock Exchange (NSE), India – CNX Nifty futures, Bank Nifty futures and CNX IT futures. It is found that, the
Hsu & Wang Model with an argument of incomplete arbitrage mechanism and real capital markets are
imperfect, provides much better pricing performance than the standard Cost of Carry Model for all the three
futures markets. On the basis of Mean Absolute Pricing Error (MAPE), CNX Nifty Futures contract with highest
trading history and trading volume is preferred, followed by Bank Nifty futures and CNX IT futures contract for
both the pricing models. This result implies that Indian futures markets are imperfect and arbitrage process
cannot complete. Degree of market imperfection might influence the pricing error. Therefore, investors should
know the degree of market imperfection of the futures markets in which they would like to participate.
Applications of Artificial Neural Network in Forecasting of Stock Market Indexpaperpublications3
Abstract: Prediction in any field is a challenging and unnerving process. Stock market is a promising financial investment that can generate great wealth. However, under the impact of Globalization Stock Market Prediction (SMP) accuracy has become more challenging and rewarding for the researchers and participants in the stock market. Artificial Neural Networks (ANN) have been found to be an efficient tool in modeling stock prices and quite a large number of studies have been done on it. ANN modeling of stock prices of selected stocks under NSE is attempted to predict the next day’s price. The network developed consists of one input layer, hidden layer and output layer with four, nine and one nodes respectively. The input being the closing price of the previous four days and output being the price for the next day. In the first section the adaptability of neural networks in stock market prediction is discussed, in the second section we discuss the traditional methods that were being used earlier for stock market prediction, in the third section we discuss the justification for using neural networks and how it is better over traditional methods, in the fourth section we discuss the basics of neural networks, section five gives an overview of data and methodology being used, in section six we have discussed the various forecasting errors methods to calculate the error, in section seven we have presented our results. The aim of this paper is to provide an overview of the application of artificial neural network in stock market prediction.
A model for profit pattern mining based on genetic algorithmeSAT Journals
Abstract
Mining profit oriented patterns is a novel technique of association rule mining in data mining, which basically focuses on important issues related with business. As it is well known that every business aims to generate the profit and find the ways to improve the same. In earlier days association rule mining was used for market basket analysis and targeted only some of the business and commercial aspects. Afterwards the researchers started to aim the most prominent element of any business i.e. Profit, and determined the innovative way to generate the association rules based on profit. Profit oriented patterns mining approach combines the statistic based pattern mining with value-based decision making to generate those patterns with the maximum profit and some ways to generate recommenders for future strategy. To achieve the desired goal the traditional association rule mining alone is not effectual, so we combine the strength of genetic algorithm with association rule mining to enhance its capability. The study shows that Genetic Algorithm improves the effectiveness and efficiency of association rule mining outcome, since genetic algorithms are competent to handle the problems related with the uncertainty, multi-dimensional, non-differential, non-continuous, and non-parametrical, non-linearity constraint and multi-objective optimization problems. In this paper we apply the concept of profit pattern mining with genetic algorithm to generate profit oriented pattern which help out in future business expansion and fulfill the business objective.
Keywords: Data Mining, Association Rule Mining, Profit Pattern Mining, Genetic Algorithm
Re-Mining Item Associations: Methodology and a Case Study in Apparel Retailingertekg
Download Link > https://ertekprojects.com/gurdal-ertek-publications/blog/re-mining-item-associations-methodology-and-a-case-study-in-apparel-retailing/
Association mining is the conventional data mining technique for analyz-ing market basket data and it reveals the positive and negative associations between items. While being an integral part of transaction data, pricing and time information have not been integrated into market basket analy-sis in earlier studies. This paper proposes a new approach to mine price, time and domain related attributes through re-mining of association mining results. The underlying factors behind positive and negative relationships can be characterized and described through this second data mining stage. The applicability of the methodology is demonstrated through the analy-sis of data coming from a large apparel retail chain, and its algorithmic complexity is analyzed in comparison to the existing techniques.
Structure Analysis of a Turbocharger Compressor Wheel Using FEAIJERA Editor
When people talk about race cars or high-performance sports cars, the topic of turbochargers usually comes up. Turbochargers also appear on large diesel engines. A turbo can significantly boost an engine's horsepower without significantly increasing its weight, which is the huge benefit that makes turbos so popular. Turbochargers are a type of forced induction system. They compress the air flowing into the engine. The advantage of compressing the air is that it lets the engine squeeze more air into a cylinder, and more air means that more fuel can be added. Therefore, you get more power from each explosion in each cylinder. Here in this project we are designing the compressor wheel by using Pro-E and doing analysis by using FEA package. The main aim of the project is to increase the performance of the compressor wheel for this we are changing the material and also we are changing the existing design. By comparing the results we will get the best model from this data we suggests the design modifications to the company to improve the performance of the compressor wheel.
Peer-to-Peer content distribution using automatically recombined fingerprintsIJERA Editor
Due to the recent advances in broad-band network and multimedia technologies, the distribution of multimedia
contents are increasing. This will help a malicious party to duplicate and redistribute the contents; hence the
protection of the ownership is required in multimedia content distribution. The encryption of content cannot
solve the issue, because it must be ultimately decrypted at genuine users who have legal authority to distribute
content. Therefore, additional protection mechanisms are needed to discourage unauthorized redistribution. One
of the mechanisms is to generate the fingerprinting of multimedia which enables a seller to trace illegal users by
embedding identification information into the content. The research on fingerprinting techniques is classified
into two studies: collusion resistant fingerprinting systems and cryptographic protocol. Since each user
download content with his/her own fingerprint and content is a little different. If users collect some of them,
they try to find the difference and modify/delete the embedded information. Unicast transmission is applied in
multimedia content distribution which will be give more security to buyers. Merchant will create number of seed
buyers who need to distribute the content to child buyers. All the seed buyers should be online to distribute the
content. The seed buyer and child buyer fingerprint are need to store in database which will be required to find
the illegal redistribution.
Implementation for Controller to Unified Single Phase Power Flow Using Digita...IJERA Editor
Presenting in his paper, Digital signal processor (DSP)-based implementation of a single phase unified power flow controller (UPFC). For shunt side and series side An efficient UPFC control algorithm is achieved. Discussing the laboratory experimental results using DC source are taken as an UPFC linked by two ll-bridge PWM voltage source converters.
Size and Time Estimation in Goal Graph Using Use Case Points (UCP): A SurveyIJERA Editor
In order to achieve ideal status and meet demands of stakeholders, each organization should follow their vision and long term plan. Goals and strategies are two fundamental basis in vision and mission. Goals identify framework of organization where processes, rules and resources are designed. Goals are modelled based on a graph structure by means of extraction, classification and determining requirements and their relations and in form of graph. Goal graph shows goals which should be satisfied in order to guarantee right route of organization. On the other hand, these goals can be called as predefined sub projects which business management unit should consider and analyse them. If we know approximate size and time of each part, we will design better management plans resulting in more prosperity and less fail. This paper studies how use case points method is used in calculating size and time in goal graph.
A Stochastic Model for the Progression of Chronic Kidney DiseaseIJERA Editor
Multistate Markov models are well-established methods for estimating rates of transition between stages of
chronic diseases. The objective of this study is to propose a stochastic model that describes the progression
process of chronic kidney disease; CKD, estimate the mean time spent in each stage of disease stages that
precedes developing end-stage renal failure and to estimate the life expectancy of a CKD patient. Continuoustime
Markov Chain is appropriate to model CKD. Explicit expressions of transition probability functions are
derived by solving system of forward Kolmogorov differential equations. Besides, the mean sojourn time, the
state probability distribution, life expectancy of a CKD patient and expected number of patients in each state of
the system are presented in the study. A numerical example is provided. Finally, concluding remarks and
discussion are presented.
Fast Synchronization In IVR Using REST API For HTML5 And AJAXIJERA Editor
Need a web service is just a web page meant for a computer to request and process. IVR system uses REST API for data access while calling. When in call process user want to access data, server need to validate it and while validation data accessing must be synchronize with mysql server. For large data accessing API is essential. This method is for HTML5 and AJAX for fast data synchronization. REST can support any media type, but XML is expected to be the most popular transport for structured information. In IVR System problems with fast data access because before uses HTML4. Proposed work is for HTML5 with AJAX implementation.
Mainly talks about the traffic jams and management countermeasuresIJERA Editor
With the economic development of China's large and medium-sized cities and city scale expands unceasingly, city
traffic congestion problem is also growing, has become a bottleneck hindering the development of the city further.
At present, governance urban traffic problem is the first strategic task of traffic congestion. Congestion,
maximizing efficiency, convenient travel is to be solved.
Geochronos File Sharing Application Using CloudIJERA Editor
Accessing, running and sharing applications and data at present face many challenges. Cloud Computing and Social Networking technologies have the potential to simplify or eliminate many of these challenges. Social Networking technologies provide a means for easily sharing applications and data. Now a day’s people want to be connected 24x7 to the world around them. Networking and Communication have come together to make the world a small place to live in. People want to be in constant touch with their subordinates where ever they are and avail emergency services whenever needed. In this paper we present an on-line/on-demand interactive application service (Software as a Service). The service is built on a cloud computing basement that provisions virtualized application servers based on user demand. An open source social networking platform is leveraged to establish a portal front-end that enables applications and results to be easily shared between users. In the proposed system users can access the documents uploaded into the cloud by others and provide any data they have in hand to other users through the same cloud. This also allows the users to have an interactive session through the chat screens present in the cloud. The paper also highlights some major security issues existing in current cloud computing environment.
Microbial Stimulation of Growth of LucerneIJERA Editor
From the soil samples outside the areas of intensive agriculture, were allocated 145 isolates: 80 cultures growing on medium nutrient agar, 28 – on 79 medium for fixing microorganisms and 37 isolates on MRS medium, by forming zones of hydrolysis of chalk. The influence of selected microorganisms were researched on seed germination and seedling growth of lucerne. Stimulation of the growth of lucerne by some cultures reached 35% (5, R11) - 45% (1, 9, R5, R28) compared with the control.
A Review: Compensation of Mismatches in Time Interleaved Analog to Digital Co...IJERA Editor
The execution of today's correspondence frameworks is exceedingly subject to the utilized Analog-to-Digital converters (ADCs), and with a specific end goal to give more flexibility and exactness to the developing correspondence innovations, superior-ADCs are needed. In this respect, the time-interleaved operation of an exhibit of ADCs (TI-ADC) might be a sensible result. A TI-ADC can build its throughput by utilizing M channel ADCs or sub converters in parallel and examining the data motion in a period-interleaved way. In any case, the execution of a TI-ADC gravely suffers from the bungles around the channel ADCs. In this paper we survey the advancement in the configuration of low-intricacy advanced remedy structures and calculations for time-interleaved ADCs in the course of the most recent five years. We devise a discrete-time model, state the outline issue, and finally infer the calculations and structures. Specifically, we examine proficient calculations to outline time-differing remedy filters and additionally iterative structures using polynomial based filters. Thusly, the remuneration structure may be utilized to repay time-differing recurrence reaction befuddles in time-interleaved ADCs, and in addition to remake uniform examples from nonuniformly tested indicators. We examine the recompense structure, research its execution, and exhibit requisition zones of the structure through various illustrations. At long last, we give a standpoint to future examination questions.
Re-Engineering Learning Objects for Re-PurposingIJERA Editor
Existing Learning Object (LO) definitions and their interpretations seem to project a view of LO with somewhat less flexible in the scope of LO reusability.In solving this problem the researchers try to interpret those definitions with an added property i.e. „LO repurposing‟. LO repurposing refers to the ability of reusing the LO in different perspectives and contexts. Adding new property needs a suitable Software Engineering methodology to be applied to properly inject the required strategies toward the development of the best and quality solutions. Our investigation in finding a solution for this problem is by shaping the LOssimilar to software objects that can not only be reused, but also repurposed in various learning contexts. In our paper, we propose to apply an object-oriented framework to develop the class-based LO model with an evolving nature of LOs. The class-based LO model allows LOs derivable to the degree ofsufficient level of repurposing for any learning context.
Mathematical Modeling of Bingham Plastic Model of Blood Flow Through Stenotic...IJERA Editor
The aim of the present paper is to study the axially symmetric, laminar, steady, one-dimensional flow of blood through narrow stenotic vessel. Blood is considered as Bingham plastic fluid. The analytical results such as pressure drop, resistance to flow and wall shear stress have been obtained. Effect of yield stress and shape of stenosis on resistance to flow and wall shear stress have been discussed through tables and graphically. It has been shown that resistance to flow and the wall shear stress increase with the size of stenosis but these increase are, however, smaller due to non-Newtonian behaviour of the blood.
Ground Improvement of Dune Sand Fields For The Purpose of Moisture RetentionIJERA Editor
Plant growth depends on the use of two important natural resources, soil and water. Soil provides the mechanical and nutrient support necessary for plant growth. Water is the major input for the growth and development of all types of plants. The availability of water, its movement and its retention are governed by the properties of soil. The properties like bulk density, mechanical composition, hydraulic conductivity etc depends on the nature and formation of soil and land use characteristics in addition to the weathering processes and the geological formations. Effective management of the resources for crop production requires the need to understand relationship between soil, water and plants. Study of soil and its water holding capacity is essential for the efficient utilization of irrigation water. Hence identification of geotechnical parameters which influences the water retention capacity and the method of adding admixtures to improve the retention capacity play an important role in Irrigation Engineering. This Paper aims to focuses on improving moisture retention of soil by addition of bentonite clay and experimental analysis for monitoring the variation of moisture retention.
Implementation of Full-Bridge Single-Stage Converter with Reduced Auxiliary C...IJERA Editor
The inclusion of a few additional diodes and passive elements in the high-frequency full-bridge ac–dc converter with galvanic isolation permits one to achieve sinusoidal input-current wave shaping and output-voltage regulation simultaneously without adding any auxiliary transistors. Recently, this procedure, together with an appropriate control process, has been used to obtain low-cost high-efficiency single-stage converters. In an attempt to improve the performance of such converters, this paper introduces three new single-stage full-bridge ac–dc topologies with some optimized characteristics and compares them with the ones of the existing full-bridge single-stage topologies. The approach used consists in the definition of the operating principles identifying the boost function for each topology, their operating limits, and the dependence between the two involved conversion processes. Experimental results for each topology were obtained in 500-W modular voltage disturbances that result from the input-current wave-shaping process.
Analysis of Nifty 50 index stock market trends using hybrid machine learning ...IJECEIAES
Predicting equities market trends is one of the most challenging tasks for market participants. This study aims to apply machine learning algorithms to aid in accurate Nifty 50 index trend predictions. The paper compares and contrasts four forecasting methods: artificial neural networks (ANN), support vector machines (SVM), naive bayes (NB), and random forest (RF). In this study, the eight technical indicators are used, and then the deterministic trend layer is used to translate the indications into trend signals. The principal component analysis (PCA) method is then applied to this deterministic trend signal. This study's main influence is using the PCA technique to find the essential components from multiple technical indicators affecting stock prices to reduce data dimensionality and improve model performance. As a result, a PCA-machine learning (ML) hybrid forecasting model was proposed. The experimental findings suggest that the technical factors are signified as trend signals and that the PCA approach combined with ML models outperforms the comparative models in prediction performance. Utilizing the first three principal components (percentage of explained variance=80%), experiments on the Nifty 50 index show that support vector classifier (SVC) with radial basis function (RBF) kernel achieves good accuracy of (0.9968) and F1-score (0.9969), and the RF model achieves an accuracy of (0.9969) and F1-Score (0.9968). In area under the curve (AUC) performance, SVC (RBF and Linear kernels) and RF have AUC scores of 1.
The International Journal of Engineering and Science (IJES)theijes
The International Journal of Engineering & Science is aimed at providing a platform for researchers, engineers, scientists, or educators to publish their original research results, to exchange new ideas, to disseminate information in innovative designs, engineering experiences and technological skills. It is also the Journal's objective to promote engineering and technology education. All papers submitted to the Journal will be blind peer-reviewed. Only original articles will be published.
A novel hybrid deep learning model for price prediction IJECEIAES
Price prediction has become a major task due to the explosive increase in the number of investors. The price prediction task has various types such as shares, stocks, foreign exchange instruments, and cryptocurrency. The literature includes several models for price prediction that can be classified based on the utilized methods into three main classes, namely, deep learning, machine learning, and statistical. In this context, we proposed several models’ architectures for price prediction. Among them, we proposed a hybrid one that incorporates long short-term memory (LSTM) and Convolution neural network (CNN) architectures, we called it CNN-LSTM. The proposed CNNLSTM model makes use of the characteristics of the convolution layers for extracting useful features embedded in the time series data and the ability of LSTM architecture to learn long-term dependencies. The proposed architectures are thoroughly evaluated and compared against state-of-the-art methods on three different types of financial product datasets for stocks, foreign exchange instruments, and cryptocurrency. The obtained results show that the proposed CNN-LSTM has the best performance on average for the utilized evaluation metrics. Moreover, the proposed deep learning models were dominant in comparison to the state-of-the-art methods, machine learning models, and statistical models.
International Journal of Engineering Research and Applications (IJERA) is an open access online peer reviewed international journal that publishes research and review articles in the fields of Computer Science, Neural Networks, Electrical Engineering, Software Engineering, Information Technology, Mechanical Engineering, Chemical Engineering, Plastic Engineering, Food Technology, Textile Engineering, Nano Technology & science, Power Electronics, Electronics & Communication Engineering, Computational mathematics, Image processing, Civil Engineering, Structural Engineering, Environmental Engineering, VLSI Testing & Low Power VLSI Design etc.
The Utilization of Machine Learning for The Prediction of CSX Index and Tax R...AJHSSR Journal
ABSTRACT: The machine learning model LSTM was applied and compared with the linear regression machine
learning model for the CSX index of the Cambodia Securities Exchange. The time span covered in this study was
from February 1, 2019, to October 12, 2023, totaling 1146 days. Out of these, 917 days were classified as Train
data, accounting for 80% of the total sample size, while 229 days were classified as Test data. Additionally, the
same techniques were used to forecast the tax revenues of the Royal Government of Cambodia, which were
collected by the General Department of Taxation. Despite using monthly data, the tax revenues were analyzed
over a longer period of 25 years, starting from January 1998 to August 2023. The Train data consisted of 247
months, equivalent to 80% of the total sample size, while the Test data accounted for 61 months, approximately
20% of the total sample size. The machine learning model, LSTM, demonstrated superior performance over the
linear regression machine learning model in predicting the daily movement of the CSX Index of the Cambodia
Securities Exchange, as evidenced by the root mean square error. The Test data revealed that the estimated root
mean square error of the linear regression machine learning was 64.78, while the LSTM machine learning
produced a lower error of 33.08. However, when applied to tax revenues data, the linear regression machine
learning outperformed the LSTM machine learning, with estimated root mean square errors of 219.31 and
1601.87, respectively.
KEYWORDS: CSX Index, Tax Revenues, Machine Learning, Linear Regression, LSTM
Now knowledge pre-processing, model and reasoning issues, power metrics, quality
issues, post-processing of discovered structures, isualization, and on-line change is best challenge.
In this paper Neural Network based forecasting of stock prices of selected sectors under Bombay
Stock Exchange show that neural networks have the power to predict prices albeit the volatility in the
markets[9]. The motivation for the development of neural network technology stemmed from the desire to develop an artificial system that could perform “intelligent" tasks similar to those performed by the human brain. Artificial Neural Networks are being counted as the wave of the future in computing. They are indeed self-learning mechanisms which don’t require the traditional skills of a
programmer. Back propagation is one of the approaches to implement concept of neural networks. Back propagation is a form of supervised learning for multi-layer nets. Error data at the output layer is back propagated to earlier ones, allowing incoming weights to these layers to be updated. It is most often used as training algorithm in current neural network applications. In this paper, we apply data
mining technology to stock market in order to research the trend of price; it aims to predict the future trend of the stock market and the fluctuation of price. This paper points out the shortage that exists in current traditional statistical analysis in the stock, then makes use of BP neural network algorithm to predict the stock market by establishing a three-tier structure of the neural network, namely input layer, hidden layer and output layer. Finally, we get a better predictive model to improve forecast accuracy.
Impact and Implications of Operations Research in Stock Marketinventionjournals
The motivation of this article is to advocate the administrative routine of settling on choices construct in light of instinct, as well as instinct combined with quantitative investigation. Operations Research (OR) is one of the main administrative choice science instruments utilized by benefit and charitable, for example, stock market. Gauging stock return is an important financial subject that has attracted researchers' consideration for a long time. It includes a supposition that basic data openly accessible in the past has some prescient connections to the future stock returns. This review tries to help the financial specialists in the stock market to choose the better planning for purchasing or offering stocks based on the information extricated from the chronicled costs of such stocks. The choice taken will be founded on choice tree classifier which is one of the Operations Research techniques.
Impact and Implications of Operations Research in Stock Marketinventionjournals
The motivation of this article is to advocate the administrative routine of settling on choices construct in light of instinct, as well as instinct combined with quantitative investigation. Operations Research (OR) is one of the main administrative choice science instruments utilized by benefit and charitable, for example, stock market. Gauging stock return is an important financial subject that has attracted researchers' consideration for a long time. It includes a supposition that basic data openly accessible in the past has some prescient connections to the future stock returns. This review tries to help the financial specialists in the stock market to choose the better planning for purchasing or offering stocks based on the information extricated from the chronicled costs of such stocks. The choice taken will be founded on choice tree classifier which is one of the Operations Research techniques.
This paper describes an architecture for predicting the price of cryptocurrencies for the next seven days
using the Adaptive Network Based Fuzzy Inference System (ANFIS). Historical data of cryptocurrencies
and indexes that are considered are Bitcoin (BTC), Ethereum (ETH), Bitcoin Dominance (BTC.D), and
Ethereum Dominance (ETH.D) in
adaily timeframe. The methods used to teach the data are hybrid and
backpropagation algorithms, as well as grid partition, subtractive clustering
, and Fuzzy C-means
clustering (FCM) algorithms, which are used in data clustering. The architectural performance designed
in this paper has been compared with different inputs and neural network models in terms of statistical
evaluation criteria. Finally, the proposed method can predict the price of digital currencies in a short time
IMPROVED TURNOVER PREDICTION OF SHARES USING HYBRID FEATURE SELECTIONIJDKP
Predicting the total turnover of a company in the most unstable stock market and trade conditions has
always proved to be a costly affair causing rise and fall of several trades. Data mining is a well-known
sphere of Computer Science that aims at extracting meaningful information from large databases. However,
despite the existence of many algorithms for the purpose of predicting future trends, their efficiency is
questionable as their predictions suffer from a high error rate. The objective of this paper is to investigate
and rate the performance of classifiers based on the features selected by Hybrid Feature Selection. The
authorized dataset for predicting the turnover was taken fromwww.bsc.com and included the stock market
values of various companies over the past 10 years. The algorithms were investigated using the Weka tool.
The Hybrid feature selection (HFS) algorithm, was run on this dataset to extract the important and
influential features for classification. With these extracted features, the Total Turnover of the company was
predicted using various algorithms like Random Forest, Decision Tree, SVM and Multinomial Regression.
This prediction mechanism was implemented to predict the turnover of a company on an everyday basis
and hence could help navigate through dubious stock markets trades. An accuracy rate of was achieved by
the above prediction process. Moreover, the importance of the stock market attributes through Incremental
Feature Selection (IFS) was established as well.
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Forecasting the direction of stock market index movement using three data mining techniques: the case of Tehran Stock Exchange
1Sadegh Bafandeh Imandoust and 2Mohammad Bolandraftar
1Economic Department, Payame Noor University, Tehran, Iran
2Department of Contracts, Bandar Abbas Oil Refining Company, Bandar Abbas, Iran
Abstract Prediction of stock price return is a highly complicated and very difficult task because there are many factors such that may influence stock prices. An accurate prediction of movement direction of stock index is crucial for investors to make effective market trading strategies. However, because of the high nonlinearity of the stock market, it is difficult to reveal the inside law by the traditional forecast methods. In response to such difficulty, data mining techniques have been introduced and applied for this financial prediction. This study attempted to develop three models and compared their performances in predicting the direction of movement in daily Tehran Stock Exchange (TSE) index. The models are based on three classification techniques, Decision Tree, Random Forest and Naïve Bayesian Classifier. Ten microeconomic variables and three macroeconomic variables were chosen as inputs of the proposed models. Experimental results show that performance of Decision Tree model (80.08%) was found better than Random Forest (78.81%) and Naïve Bayesian Classifier (73.84%). Keywords: Predicting direction of stock market index movement- Decision Tree- Random Forest- Naïve Bayesian Classifier
I. Introduction
Prediction of stock price return is a highly complicated and very difficult task because there are too many factors such as political events, economic conditions, traders‟ expectations and other environmental factors that may influence stock prices. In addition, stock price series are generally quite noisy, dynamic, nonlinear, complicated, nonparametric, and chaotic by nature [1-4]. The noisy characteristic refers to the unavailability of complete information from the past behavior of financial markets to fully capture the dependency between future and past prices [5-9]. Most of the studies have focused on the accurate forecasting of the value of stock price. However, different investors adopt different trading strategies; therefore, the forecasting model based on minimizing the error between the actual values and the forecasts may not be suitable for them. Instead, accurate prediction of movement direction of stock index is crucial for them to make effective market trading strategies. Specifically, investors could effectively hedge against potential market risk and speculators as well as arbitrageurs could have opportunity of making profit by trading stock index whenever they could obtain the accurate prediction of stock price direction. That is why there have been a number of studies looking at direction or trend of movement of various kinds of financial instruments [10-14].
In recent years, there have been a growing number of studies looking at the direction or trend of movements of financial markets. Although there exist some articles addressing the issue of forecasting financial time series such as stock market index, most of the empirical findings are associated with the developed financial markets (UK, USA, and Japan). However, few researches exist in the literature to predict direction of stock market index movement in emerging markets [15-17]. Because of the high nonlinearity of the stock market, it is difficult to reveal the inside law by the traditional forecast methods [18]. The difficulty of prediction lies in the complexities of modeling human behavior [19]. In response to such difficulty, data mining (or machine learning) techniques have been introduced and applied for this financial prediction. Recent studies reveal that nonlinear models are able to simulate the volatile stock markets well and produce better predictive results than traditional linear models in stock market tendency exploration [20]. With the development of artificial intelligence (AI) techniques investors are hoping that the market mysteries can be unraveled because these methods have great capability in pattern recognition problems such as classification and prediction. In the present study, three classification methods, derived from the field of machine learning, are used to predict the direction of movement in the daily TSE index using. The employed methods are Random Forest, Decision Tree, and Naïve Bayesian Classifier.
The remainder of the paper is organized as follows: Section 2 reviews the literature. Section 3 provides a brief description of Random Forest, Decision Tree, and Naïve Bayesian Classifier. Section 4 presents the
RESEARCH ARTICLE OPEN ACCESS
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research design and methodology. Section 5 describes finding results from the comparative analysis. Finally, in the last section concluding remarks are given.
II. Literature Review
Data mining techniques have been introduced for prediction of movement sign of stock market index since the results of Leung et al. and Chen et al. [21], where LDA, Logit and Probit and Neural network were proposed and compared with parametric models, GMM-Kalman filter. Kumar & Thenmozhi [22] compare the predictive ability of Random Forest and SVM with ANN, Discriminant Analysis and Logit model to predict Indian stock index movement based on economic variable indicators. Empirical experimentation suggests that the SVM outperforms the other classification methods in terms of predicting the S&P CNX NIFTY index direction and Random Forest method outperforms ANN, Discriminant Analysis and Logit model used in this study. Afolabi and Olatoyosi [21] use fuzzy logics, neuro-fuzzy networks and Kohonen‟s self organizing plan for forecasting stock price. The finding results demonstrate that the deviation in Kohonen‟s self organizing plan is less than that in other techniques. Chen and Han [24] propose an original and universal method by using SVM with financial statement analysis for prediction of stocks. They applied SVM to construct the prediction model and selected Gaussian radial basis function (RBF) as the kernel function. The experimental results demonstrate that their method improves the accuracy rate. Abbasi and Abouec [20] investigate the current trend of stock price of the Iran Khodro Corporation at Tehran Stock Exchange by utilizing an Adaptive Neuro-Fuzzy Inference System (ANFIS). The findings of the research demonstrate that the trend of stock price can be forecast with a low level of error. Jandaghi et al. [16] use ARIMA and Fuzzy- Neural networks to predict stock price of SAIPA auto-making company. The finding results show the preference of nonlinear Neural-Fuzzy model to classic linear model and verify the capabilities of Fuzzy-neural networks in this prediction. Kara et al. [18] attempt to develop two models and compare their performances in predicting the direction of movement in the daily Istanbul Stock Exchange (ISE) National 100 Index. The models are based on two classification techniques, ANN and SVM. They selected ten technical indicators as inputs of the proposed models. Experimental results show that average performance of ANN model (75.74%) was found significantly better than SVM model (71.52%).
Other methods that have been used to predict the stock market include KNN and Bayesian belief networks.
III. Theoretical background
3.1 Random Forest
Random forest (RF) is a popular and very efficient algorithm, based on model aggregation ideas, for both classification and regression problems, introduced by Breiman [20]. A RF is in fact a special type of simple regression trees ensemble, which gives a prediction based on the majority voting (the case of classification) or averaging (the case of regression) predictions made by each tree in the ensemble using some input data [14]. The RF is an effective prediction tool in data mining. It employs the Bagging method to produce a randomly sampled set of training data for each of the trees. This method also semi-randomly selects splitting features; a random subset of a given size is produced from the space of possible splitting features. The best splitting is feature deterministically selected from that subset. A pseudo to classify a test instance, the random forest classifies the instance by simply combining all results from each of the trees in the forest. The method used to combine the results can be as simple as predicting the class obtained from the highest number of trees. The principle of random forests is to combine many binary decision trees built using several bootstrap samples coming from the learning sample L and choosing randomly at each node a subset of explanatory variables X. More precisely, with respect to the well-known CART model building strategy performing a growing step followed by a pruning one, two differences can be noted. First, at each node, a given number of input variables are randomly chosen and the best split is calculated only within this subset. Second, no pruning step is performed, so all the trees of the forest are maximal trees.
For each observation, each individual tree votes for one class and the forest predicts the class that has the plurality of votes. The user has to specify the number of randomly selected variables to be searched through for the best split at each node. The largest tree possible is grown and is not pruned. The root node of each tree in the forest contains a bootstrap sample from the original data as the training set. The observations that are not in the training set, roughly 1/3 of the original data set, are referred to as out-of- bag (OOB) observations. One can arrive at OOB predictions as follows: for a case in the original data, predict the outcome by plurality vote involving only those trees that did not contain the case in their corresponding bootstrap sample. By contrasting these OOB predictions with the training set outcomes, one can arrive at an estimate of the prediction error rate, which is referred to as the OOB error rate. The RF
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construction allows one to define several measures of
variable importance.
3.2 Decision Tree
Decision tree (DT) algorithm is a data mining
induction technique which recursively partitions a
dataset of records using depth-first greedy approach
or breadth-first approach until all the data items
belong to a particular class.
A DT is a mapping from observations about an
item to conclusion about its target value as a
predictive model in data mining and machine
learning. Generally, for such tree models, other
descriptive names are classification tree (discrete
target) or regression tree (continuous target). The
general idea of a decision tree is splitting the data
recursively into subsets so that each subset contains
more or less homogeneous states of target predictable
attribute. At each branch in the tree, all available
input attributes are calculated again for their own
impact on the predictable attribute.
In a classification problem, which the target
variable is categorical; all variables in a dataset are
assigned to the root node. The data is then divided
into two child nodes, based on a splitting criterion
that splits data characterized by a question. A
splitting criterion at each node depends on the single
variable value selected from the dataset.
Depending on the answer to the question,
whether yes or no, data is split into left or right
nodes. The splitting of parent nodes continues until
the resulting child nodes are pure or until the
numbers of cases inside the node reach a predefined
number. Thus the tree is constructed by examining all
possible splits at each node until maximum depth is
reached or no gain in purity is observed with further
splitting. Nodes that are pure or homogeneous, which
could not be split further, are called terminal or leaf
nodes, and they are assigned to a class.
DT classification technique is performed in two
phases: tree building and tree pruning. Tree building
is done in top-down manner. It is during this phase
that the tree is recursively partitioned till all the data
items belong to the same class label. Tree pruning is
done in a bottom-up fashion. It is used to improve the
prediction and classification accuracy of the
algorithm by minimizing over-fitting (noise or much
detail in the training dataset).
Although other methodologies such as neural
networks and rule based classifiers are the other
options for classification, DT has the advantages of
interpretation and understanding for the decision
makers to compare with their domain knowledge for
validation and justify their decisions.
Figure 1 is an illustration of the structure of DT
built by some credit database, where x, y, z, u in
inner nodes of the tree are predictive attributes and
"good" and "bad" are the classifications of target
attribute in the credit database.
Fig. 1. A structure of decision tree
3.3 Naïve Bayesian Classifier
A Naive Bayesian Classifier (NBC) is well
known in the machine learning community. It is one
kind of Bayesian classifier, which is now recognized
as a simple and effective probability classification
method, and works based on applying Bayes'
theorem with strong (naive) independence
assumptions.
The NBC is particularly suited when the
dimensionality of the inputs is high. Despite its
simplicity, Naïve Bayes can often outperform more
sophisticated classification methods.
In simple terms, a NBC assumes that the presence (or
absence) of a particular feature of a class is unrelated
to the presence (or absence) of any other feature,
given the class variable. Given feature variables F1,
F2,…, Fn and a class variable C. The Bayes‟ theorem
states
( , ,..., )
( ) ( , ,..., | )
( | , ,..., )
1 2
1 2
1 2
n
n
n P F F F
P C P F F F C
P C F F F
(1)
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Assuming that each feature is conditionally
independent of every other feature for one
obtains
( , ,..., )
( ) ( | )
( | , ,..., )
1 2
1
1 2
n
n
i i
n P F F F
P C P F C
P C F F F
(2)
The denominator serves as a scaling factor and can be
omitted in the final classification rule.
n
i i i
a
c
P C c P F f C c
1
argmax ( ) ( | )
(3)
IV. Research design
The research data used in this study is the
direction of daily closing price movement in the TSE
Index. The entire data set covers the period from
April 17, 2007 to March 18, 2012. The total number
of cases is 1184 trading days. The number of days
with increasing direction is 654, the number of days
with decreasing direction is 523, and the number of
days with constant direction is 7 days. In other words,
in 55.24% of the all days market has an increasing
direction, in 44.17% of the all days it has a
decreasing direction, and in 0.59% of the all trading
days the direction is constant. The historical data and
the number of days for each year are given in Table
1. The research historical data was obtained from
Tehran Securities Exchange Technology
Management Co. and the official website of the
Tehran Stock Exchange.
80% of the data was used for training the
models, and the remaining 20% was used to test them
and compare their performance. That is, 947 of all the
cases are training data and 237 cases are used to test
the models.
The direction of daily change in the stock price
index is categorized as „„Positive‟‟, „„Negative‟‟ and
“No Change”. If the TSE Index at time t is higher
than that at time t-1, the direction is „„Positive‟‟, if
the TSE Index at time t is lower than that at time t-1,
the direction is „„Negative‟‟, and if the TSE Index at
time t is equal to that at time t-1, the direction is „„No
Change‟‟.
Year Increase Decrease Constant (No Change) Total
2007 100 74 1 175
2008 99 139 2 240
2009 136 103 0 238
2010 159 81 1 242
2011 130 104 3 237
2012 30 22 0 52
Sum 654 523 7 1184
Table 1. The number of cases in the entire data set
In the study technical and fundamental
variables have been employed, and the input
variables to models are divided into three parts. In the
first part, the input variables to models are technical
indicators, and the predictive power of the data
mining methods, used in the study, are evaluated and
compared. In the second part, fundamental inputs are
applied to the models, and in the last part,
fundamental and technical variables are applied to
machine learning techniques simultaneously. Figure
2 depicts an overview of the research steps.
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Fig 2. Research steps
Ten technical indicators for each case were used as input variables. A variety of technical indicators are available. Some technical indicators are effective under trending markets and others perform better under no trending or cyclical markets. Table 2 summarizes the selected technical indicators.
Name of indicators
Simple 10-day moving average
Weighted 10-day moving average
Momentum
Stochastic K%
Stochastic D%
RSI (Relative Strength Index)
MACD (moving average convergence divergence)
Larry William‟s R%
A/D (Accumulation/Distribution) Oscillator
CCI (Commodity Channel Index)
Table 2. Selected technical indicators and their formulas
Since oil, gold and USD/IRR play prominent roles in the Iranian economy, these three variables were considered as fundamental indicators.
V. Experimental results
5.1 Random Forest
In this part, the results of applying technical, fundamental and technical-fundamental indicators to RF are considered.
Figure 3 shows the finding results of applying technical indicators to RF. As we can see, Stochastic (K%) is the most important variable, and 560 trees lead to the best result. Also, in this part, the RF model can predict stock market movement direction with the accuracy of 78.81%.
Studying similar research and extracting the most efficient technical and fundamental variables
Collecting research data
Applying technical, fundamental and technical-fundamental variables to the data mining techniques used in the research
Extracting the results and comparing performance of the models
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(a)
(b)
Fig. 3. The results of applying technical indicators to RF (a) misclassification rate graph (b) importance plot
In the second part, fundamental indicators are employed in RF. The RF model, in this part, can predict TSE
market movement direction with the accuracy of 61.86%. As it is demonstrated in Figure 4, when the number of
trees is 400, the optimized answer is obtained. Additionally, the variable Gold is as important as the variable
USD/IRR.
Summary of Random Forest
Response: Trend
Number of trees: 560; Maximum tree size: 100
Train data
Test data
100 200 300 400 500
Number of Trees
0.13
0.14
0.15
0.16
0.17
0.18
0.19
0.20
0.21
0.22
0.23
0.24
0.25
0.26
Misclassification Rate
Importance plot
Dependent variable: Trend
SMA
WMA
Momentum
Stochastic (K%)
Stochastic (D%)
RSI
MACD
Larry Williams R%
A/D
CCI
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Importance
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(a)
(b)
Fig. 4. The results of applying fundamental indicators to RF (a) misclassification rate graph (b) importance plot
Finally, in the third part 13 technical-fundamental indicators were exploited in RF. The results, which are
displayed in Figure 5, indicate that the optimal number of trees is 270 and Stochastic (K%) is the most notable
variable. Furthermore, the RF model can forecast the market movement direction with the accuracy of 78.39%.
Summary of Random Forest
Response: Trend
Number of trees: 400; Maximum tree size: 100
Train data
Test data
50 100 150 200 250 300 350 400
Number of Trees
0.20
0.25
0.30
0.35
0.40
0.45
0.50
Misclassification Rate
Importance plot
Dependent variable: Trend
Oil Gold USD/IRR
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Importance
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(a)
(b)
Fig. 5. The results of applying technical-fundamental indicators to RF (a) misclassification rate graph (b)
importance plot
5.2 Decision Tree
In the case of technical input indicators, the accuracy of the optimal model is 80.08%. The importance plot
of the DT model is given in Figure 6. As it is shown, the variable MACD is the most considerable variable in
this part of analysis.
Importance plot
Dependent variable: Trend
SMA
WMA
Momentum
Stochastic (K%)
Stochastic (D%)
RSI
MACD
Larry Williams R%
A/D
CCI
Oil
Gold
USD/IRR
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Importance
Summary of Random Forest
Response: Trend
Number of trees: 270; Maximum tree size: 100
Train data
Test data
50 100 150 200 250
Number of Trees
0.12
0.14
0.16
0.18
0.20
0.22
0.24
0.26
0.28
Misclassification Rate
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Fig. 6. Variable importance plot of technical indicators in the DT model
Figures 7 and 8 represent the importance plot of fundamental and technical-fundamental indicators to in DT
respectively. In the case of fundamental variables oil price is the most key variable, whereas in the case of
technical-fundamental variables MACD is the most important variable. Performances of the most accurate
models in fundamental and technical-fundamental indicators are about 58.44% and 80.08% respectively.
Fig. 7. Variable importance plot of fundamental indicators in the DT model
Importance plot
Dependent variable: Trend
Model: C&RT
SMA
WMA
Momentum
Stochastic (K%)
Stochastic (D%)
RSI
MACD
Larry Williams R%
A/D
CCI
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
Importance
Importance plot
Dependent variable: Trend
Model: C&RT
Oil Gold USD/IRR
0.00
0.05
0.10
0.15
0.20
0.25
0.30
0.35
0.40
0.45
0.50
0.55
0.60
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00
1.05
Importance
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Fig. 8. Variable importance plot of technical-fundamental indicators in the DT model
5.3 Naïve Bayesian Classifier
First, ten technical indicators as input variables were given to NBC. Next, three fundamental variables used in the research were applied to the model. Finally, 13 fundamental-technical variables applied to the model. The finding results indicate that 10-variable NBC, 3-variable NBC, and 13-variable NBC are able to forecast the next day price movement with the accuracy of 73.84%, 54.43%, and 72.15% consequently.
Figure 9 shows the comparative results of using three data mining techniques used in the study. As it is displayed, when the input variables are technical or technical-fundamental, DT outperforms the other methods, but if fundamental variables are employed, RF is more accurate. Furthermore, there is dramatic difference among the performance of the models in the case of technical/technical-fundamental variables and fundamental variables. Additionally, DT with technical/technical-fundamental indicators is able to predict the TSE market movement direction more accurately than the other methods.
Fig. 9. Comparative results of using three data mining techniques
Importance plotDependent variable: TrendModel: C&RT SMAWMAMomentumStochastic (K%) Stochastic (D%) RSIMACDLarry Williams R% A/DCCIOilGoldUSD/IRR 0.00.10.20.30.40.50.60.70.80.91.01.1 Importance
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VI. Conclusions
Predicting stock market due to its nonlinear, dynamic and complex nature is very difficult. Predicting the direction of movements of the stock market index is important and of great interest because successful prediction may promise attractive benefits. It usually affects a financial trader‟s decision to buy or sell an instrument. This study attempted to predict the direction of stock price movement in the Tehran Stock Exchange. Three data mining techniques including RF, DT, and NBC were constructed and their performances were compared on the daily data from 2007 to 2012. In order to integrity of the study, three types of input data have been used. These data include technical indicators, fundamental indicators and technical- fundamental indicators. The results demonstrate that technical and technical-fundamental variables are capable to predict the direction of the market movement with acceptable accuracy, which DT (with the accuracy of 80.08% in both technical and technical-fundamental variables) outperforms the other techniques. When fundamental indicators are employed, RF with the accuracy of 61.86% has a better performance than other methods. In general, the predictive power of machine learning methods in this case is not acceptable. According to the results, predicting the direction of the Tehran Stock Exchange using data mining techniques is possible. Since technical variables led to much more accurate results, we can conclude fundamental analysis plays less important role than technical analysis in the process of decision-making of traders and stakeholders. References
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