Data-driven outlook: Machine learning models in forecasting stock market indices

In this research, both binary classification model and feed forward neural networks model were used in classifying whether the Philippine Stock Exchange (PSEi) closing level the next day will be higher or lower than the previous days. The researcher examined if these two machines learning models per...

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Main Author: Nicolas, Paul John P.
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Language:English
Published: Animo Repository 2017
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Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/2883
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Institution: De La Salle University
Language: English
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spelling oai:animorepository.dlsu.edu.ph:etd_bachelors-38832021-05-31T02:33:45Z Data-driven outlook: Machine learning models in forecasting stock market indices Nicolas, Paul John P. In this research, both binary classification model and feed forward neural networks model were used in classifying whether the Philippine Stock Exchange (PSEi) closing level the next day will be higher or lower than the previous days. The researcher examined if these two machines learning models performed well in terms of (1) precision, (2) recall, (3) f1 score and (4) accuracy. The researcher focused on limiting the sample to five (n=5) because of limited research effort and time. The sample included daily stock levels of the Philippines, Japan, New Zealand, Australia, and South Korea. The other four stock markets were randomly selected out of the stock markets that closes earlier than the Philippines. The researcher used closing stock indices for years 2012-2016 of the Philippines, Japan, New Zealand, Australia, and South Korea because this is the period of post 2008 global financial crisis. The research used an open source tool for implementation of machine learning and for numerical computation using data flow graphs called Tensor Flow. The researcher obtained the data from Investing.com website, which are publicly available and free of charge. The results showed that between the two models, the feedforward neural networks model is more effective since it performed well in (a) precision (b) recall (c) f1 score and (d) accuracy. On the other hand, the binary classification model is still effective but not as much as feedforward neural networks model. 2017-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_bachelors/2883 Bachelor's Theses English Animo Repository Stock price forecasting--Data processing Stock price indexed--Data processing Stock exchanges Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stock price forecasting--Data processing
Stock price indexed--Data processing
Stock exchanges
Finance and Financial Management
spellingShingle Stock price forecasting--Data processing
Stock price indexed--Data processing
Stock exchanges
Finance and Financial Management
Nicolas, Paul John P.
Data-driven outlook: Machine learning models in forecasting stock market indices
description In this research, both binary classification model and feed forward neural networks model were used in classifying whether the Philippine Stock Exchange (PSEi) closing level the next day will be higher or lower than the previous days. The researcher examined if these two machines learning models performed well in terms of (1) precision, (2) recall, (3) f1 score and (4) accuracy. The researcher focused on limiting the sample to five (n=5) because of limited research effort and time. The sample included daily stock levels of the Philippines, Japan, New Zealand, Australia, and South Korea. The other four stock markets were randomly selected out of the stock markets that closes earlier than the Philippines. The researcher used closing stock indices for years 2012-2016 of the Philippines, Japan, New Zealand, Australia, and South Korea because this is the period of post 2008 global financial crisis. The research used an open source tool for implementation of machine learning and for numerical computation using data flow graphs called Tensor Flow. The researcher obtained the data from Investing.com website, which are publicly available and free of charge. The results showed that between the two models, the feedforward neural networks model is more effective since it performed well in (a) precision (b) recall (c) f1 score and (d) accuracy. On the other hand, the binary classification model is still effective but not as much as feedforward neural networks model.
format text
author Nicolas, Paul John P.
author_facet Nicolas, Paul John P.
author_sort Nicolas, Paul John P.
title Data-driven outlook: Machine learning models in forecasting stock market indices
title_short Data-driven outlook: Machine learning models in forecasting stock market indices
title_full Data-driven outlook: Machine learning models in forecasting stock market indices
title_fullStr Data-driven outlook: Machine learning models in forecasting stock market indices
title_full_unstemmed Data-driven outlook: Machine learning models in forecasting stock market indices
title_sort data-driven outlook: machine learning models in forecasting stock market indices
publisher Animo Repository
publishDate 2017
url https://animorepository.dlsu.edu.ph/etd_bachelors/2883
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