Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Developing an approach to evaluate stocks by forecasting effective features with data mining methods
AU - Barak, Sasan
AU - Modarres, Mohammad
PY - 2015/2/15
Y1 - 2015/2/15
N2 - In this research, a novel approach is developed to predict stocks return and risks. In this three-stage method, through a comprehensive investigation all possible features which can be effective on stocks risk and return are identified. Then, in the next stage risk and return are predicted by applying data mining techniques for the given features. Finally, we develop a hybrid algorithm, on the basis of filter and function-based clustering; the important features in risk and return prediction are selected then risk and return re-predicted. The results show that the proposed hybrid model is a proper tool for effective feature selection and these features are good indicators for the prediction of risk and return. To illustrate the approach as well as to train data and test, we apply it to Tehran Stock Exchange (TSE) data from 2002 to 2011.
AB - In this research, a novel approach is developed to predict stocks return and risks. In this three-stage method, through a comprehensive investigation all possible features which can be effective on stocks risk and return are identified. Then, in the next stage risk and return are predicted by applying data mining techniques for the given features. Finally, we develop a hybrid algorithm, on the basis of filter and function-based clustering; the important features in risk and return prediction are selected then risk and return re-predicted. The results show that the proposed hybrid model is a proper tool for effective feature selection and these features are good indicators for the prediction of risk and return. To illustrate the approach as well as to train data and test, we apply it to Tehran Stock Exchange (TSE) data from 2002 to 2011.
KW - Stock market
KW - Data mining
KW - Classification algorithm
KW - Feature selection
KW - Function-based clustering method
U2 - 10.1016/j.eswa.2014.09.026
DO - 10.1016/j.eswa.2014.09.026
M3 - Journal article
VL - 42
SP - 1325
EP - 1339
JO - Expert Systems with Applications
JF - Expert Systems with Applications
SN - 0957-4174
IS - 3
ER -