Stock Trend Behavior Prediction using Machine Learning Techniques and Trading Simulation
Liau Sheau Chang1, Nilam Nur Binti Amir Sjarif2.
Due to the choppy fluctuates and uncertainties in the share market, it has been a challenge for
financial institution or even investors to be definite with the stock trend. The aim of the paper is to
scrutinize different algorithms in data mining to identify the trend of the stock price movement. This
will provide contently insights to the investor to make a precise investment and grow their portfolios.Historical price movement are extracted from financial websites. Derived attributes on Simple Moving Average (SMA) with different periods are added as an input parameter. This study proposed a combination of different features to implement with machine learning algorithms which includes k-NN, SVM and J48. The study has achieved high accuracy in stock classification, with 94.872% in k-NN, 94.855% in J48 and 85.257% in SVM. This indicates that for trend movement prediction classification, SVM is the most optimal algorithm to classify the correct trend of the stock movement, followed by k-NN and J48. However, the feature selection is also crucial to have an impactful attribute as the input parameters for better and more accurate predictive analysis. Price movement forecast was also carried out to compare between linear regression, Decision Tree, LSTM and k- NN to be used for future comparison. LSTM is the best algorithm in predicting the stock price with the least RSME indicates that it rhymes closely with the actual stock price movement.
Affiliation:
- Universiti Teknologi Malaysia 54100 Kuala Lumpur, Malaysia, Malaysia
- Universiti Teknologi Malaysia (UTM KL), Malaysia
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