Towards Stock Market Data Mining Using Enriched Random Forests from Textual Resources and Technical Indicators

Abstract : The present paper deals with a special Random Forest Data Mining technique, designed to alleviate the significant issue of high dimensionality in volatile and complex domains, such as stock market prediction. Since it has been widely acceptable that media affect the behavior of investors, information from both technical analysis as well as textual data from various on-line financial news resources are considered. Different experiments are carried out to evaluate different aspects of the problem, returning satisfactory results. The results show that the trading strategies guided by the proposed data mining approach generate higher profits than the buy-and-hold strategy, as well as those guided by the level-estimation based forecasts of standard linear regression models and other machine learning classifiers such as Support Vector Machines, ordinary Random Forests and Neural Networks.
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Harris Papadopoulos; Andreas S. Andreou; Max Bramer. 6th IFIP WG 12.5 International Conference on Artificial Intelligence Applications and Innovations (AIAI), Oct 2010, Larnaca, Cyprus. Springer, IFIP Advances in Information and Communication Technology, AICT-339, pp.278-286, 2010, Artificial Intelligence Applications and Innovations. 〈10.1007/978-3-642-16239-8_37〉
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Manolis Maragoudakis, Dimitrios Serpanos. Towards Stock Market Data Mining Using Enriched Random Forests from Textual Resources and Technical Indicators. Harris Papadopoulos; Andreas S. Andreou; Max Bramer. 6th IFIP WG 12.5 International Conference on Artificial Intelligence Applications and Innovations (AIAI), Oct 2010, Larnaca, Cyprus. Springer, IFIP Advances in Information and Communication Technology, AICT-339, pp.278-286, 2010, Artificial Intelligence Applications and Innovations. 〈10.1007/978-3-642-16239-8_37〉. 〈hal-01060678〉

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