STOCKMARKETPREDICTION% - Computer Engineering
STOCK MARKET PREDICTION
Pawan Kumb hare; Ro hit Makhija; Hitesh Raichandani
SANTA CLARA UNIVERSITY
P REFACE
The
report
has
been
made
in
fulfillment
of
the
requirement
for
the
subject:
Pattern
Recognition
and
Data
Mining
in
March
2016
under
the
supervision
of
Dr.
Ming--Hwa
Wang.
For
making
this
project
we
have
studied
various
concepts
related
to
the
stock
market
and
how
they
can
be
used.
We
also
studied
about
various
Machine
Learning
algorithms
and
tools
that
can
be
used
to
solve
the
problem
easily.
The
project
aims
at
applying
two
machine
learning
algorithms;
Decision
Trees
and
Support
Vector
Machines
and
analyze
how
these
algorithms
performs
at
predicting
the
stock
market.
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A C K N O W LED G EM EN T
Apart from the efforts of ourselves, the success of any project depends largely on the encouragement and guidelines of many others. We take this opportunity to express our gratitude to the people who have been instrumental in the successful completion of this project. We would like to show our greatest appreciation to Dr. Ming--Hwa Wang. We thank him for his tremendous support and help. The guidance and support received from all the members who contributed and who are contributing to this project, was vital for the success of the project.
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T A B LE O F C O N T EN T S
P REFA CE ........................................................................................................................................................... 1
A C K N O W LED G EM EN T ...................................................................................................................................... 2
T A B LE O F C O N T EN T S . ...................................................................................................................................... 3
L IST O F F IG U R ES . ............................................................................................................................................. 5
1
I N TRO DUCTIO N ........................................................................................................................................ 8
1 . 1
O BJECTIVE . ....................................................................................................................................... 8
1 . 2
W H A T IS TH E PR O B LEM ? ................................................................................................................ 8
1 . 3
W H Y T H I S I S A P R O J E C T R E L A T E D T O T H I S C L A S S ? ...................................................................... 8
1 . 4
W H Y O T H E R A P P R O A C H IS N O G O O D ? .......................................................................................... 8
1 . 5
W H Y Y O U T H I N K Y O U R A P P R O A C H I S B E T T E R ? . ............................................................................ 9
1 . 6
S T A T E M E N T O F T H E P R O B LE M ....................................................................................................... 9
1 . 7
A R E A O R S C O P E O F IN V E S T IG A T IO N ............................................................................................ 10
2
T H E O R E T IC A L B A S E S A N D L IT E R A T U R E R E V IE W ................................................................................. 11
2 . 1
D E F IN IT IO N O F T H E P R O B LE M . ..................................................................................................... 11
2 . 2
T H E O R E T I C A L B A C K G R O U N D O F T H E P R O B L E M .......................................................................... 11
2 . 3
R E L A T E D R E S E A R C H T O SO L V E T H E P R O B L E M . ............................................................................ 11
2 . 4
A D V A N T A G E / D I S A D V A N T A G E O F T H O S E R E S E A R C H ................................................................... 12
2 . 5
O U R S O L U T IO N T O S O L V E T H IS P R O B L E M ................................................................................... 12
2 . 6
W H Y O U R S O L U T I O N I S D I F F E R E N T F R O M O T H E R S ? .................................................................. 12
2 . 7
W H Y O U R S O L U T IO N IS B E T T E R ? ................................................................................................. 12
3
H YPO TH ESIS ........................................................................................................................................... 13
3 . 1
P O S IT IV E / N E G A T IV E H Y P O T H E S IS ................................................................................................ 13
4
M ETH O D O LO G Y ..................................................................................................................................... 14
4 . 1
H O W T O C O LL E C T IN P U T D A T A ? . .................................................................................................. 14
4 . 2
H O W T O S O LV E T H E P R O B L E M ? . .................................................................................................. 14
4.2.1
ALGORITHM
DESIGN.
.....................................................................................................
1 6
USING
DECISION
TREES
...............................................................................................................
1 6
USING
SUPPORT
VECTOR
MACHINES
..............................................................................................
1 7
4.2.2
LANGUAGE
USED
. .........................................................................................................
1 8
R
(PROGRAMMING
LANGUAGE)
[4]
?
. ............................................................................................
1 8
4.2.3
TOOLS
USED
. ..............................................................................................................
1 8
RSTUDIO
DESKTOP
[5]
?.
.............................................................................................................
1 8
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4 . 3
H O W T O G E N E R A T E O U T P U T ? . ..................................................................................................... 18
4 . 4
H O W T O P R O V E C O R R E C T N E SS ? .................................................................................................. 19
5
M ETH O D O LO G Y ..................................................................................................................................... 22
5 . 1
C O DE .............................................................................................................................................. 22
5.1.1
DECISION
TREE
IMPLEMENTATION
CODE
. ..........................................................................
2 2
5.1.2
SVM
IMPLEMENTATION
CODE
. .......................................................................................
2 5
5 . 2
D E S IG N D O C U M E N T A N D F L O W C H A R T . ....................................................................................... 28
5.2.1
Design Document . .......................................................................................................................... 28
METHODS
USED
FOR
INDICATORS.
..................................................................................................
2 8
METHOD
USED
FOR
DECISION
TREE
. ...............................................................................................
2 8
METHOD
USED
FOR
PRUNING
DECISION
TREE
. ..................................................................................
2 8
METHOD
USED
FOR
PREDICTING
THE
OUTPUT
. ..................................................................................
2 8
METHODS
USED
FOR
EVALUATING
THE
MODEL
. .................................................................................
2 8
METHOD
USED
FOR
SVM
. ............................................................................................................
2 9
METHOD
USED
FOR
PREDICTING
THE
OUTPUT
. ..................................................................................
2 9
METHODS
USED
FOR
EVALUATING
THE
MODEL
. .................................................................................
2 9
5.2.2
Flowchart . ....................................................................................................................................... 30
6
D A T A A N A L Y S IS A N D D ISC U SSIO N ....................................................................................................... 31
6 . 1
O U T PU T G EN ER A T IO N .................................................................................................................. 31
6 . 2
O U TPU T A N A LYSIS ........................................................................................................................ 31
6 . 3
C O M P A R E O U T P U T A G A IN S T H Y P O T H E S IS ................................................................................. 33
6 . 4
S T A T IST IC R EG R ESSIO N . ................................................................................................................ 33
6 . 5
D ISCU SSIO N ................................................................................................................................... 33
7
C O N C L U S IO N A N D R E C O M M E N D A T IO N S ............................................................................................. 34
7 . 1
S U M M A R Y A N D C O N C LU SIO N . ...................................................................................................... 34
7 . 2
R E C O M M E N D A T IO N S F O R F U T U R E S T U D IE S ............................................................................... 34
8
B IBLIO G RA PH Y ....................................................................................................................................... 35
9
A PPEN DICES ........................................................................................................................................... 36
9 . 1
P R O G R A M F LO W C H A R T ................................................................................................................ 36
9 . 2
P R O G R A M S O U R C E C O D E A N D D O C U M E N T A T IO N ..................................................................... 37
9.2.1
DECISION
TREE
IMPLEMENTATION
CODE
. ..........................................................................
3 7
9.2.2
SVM
IMPLEMENTATION
CODE
. .......................................................................................
4 0
9 . 3
I N PU T / O U T P U T L IST IN G ............................................................................................................... 43
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