Stock market prediction with multiple classifiers

摘要

Stock market prediction is attractive and challenging. According to the efficient market hypothesis, stock prices should follow a random walk pattern and thus should not be predictable with more than about 50 percent accuracy. In this paper, we investigated the predictability of the Dow Jones Industrial Average index to show that not all periods are equally random. We used the Hurst exponent to select a period with great predictability. Parameters for generating training patterns were determined heuristically by auto-mutual information and false nearest neighbor methods. Some inductive machine-learning classifiers—artificial neural network, decision tree, and k-nearest neighbor were then trained with these generated patterns. Through appropriate collaboration of these models, we achieved prediction accuracy up to 65 percent.