Creation of an investment strategy using Data Mining techniques in Spanish Stock Exchange

Garrido Camino, Carlos (2015). Creation of an investment strategy using Data Mining techniques in Spanish Stock Exchange. Thesis (Master thesis), E.T.S.I. Industriales (UPM).

Description

Title: Creation of an investment strategy using Data Mining techniques in Spanish Stock Exchange
Author/s:
  • Garrido Camino, Carlos
Contributor/s:
  • Mira McWilliams, José Manuel
  • González Fernández, Camino
Item Type: Thesis (Master thesis)
Masters title: Ingeniería de Organización
Date: October 2015
Subjects:
Freetext Keywords: Data mining, Investment, Random Forest, Bagging, CART, Stock Exchange, Stock Price
Faculty: E.T.S.I. Industriales (UPM)
Department: Ingeniería de Organización, Administración de Empresas y Estadística
Creative Commons Licenses: None

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Abstract

This Master Thesis is developed to apply data mining techniques on stock price prediction in Spanish stock exchange. Based on passive investment strategy, in which portfolios are designed to last at least six months, one of the objectives of this work is to understand which variables are important for stock price prediction in Spain. This analysis is carried out applying CART, Random Forests and Bagging techniques to Spanish listed companies over the last twenty years. The used data consist of financial statements from all those companies. Therefore, the results will be the creation of different models based on different data mining techniques, that will allow investors to create different portfolios. Those portfolios will be compared to see what is the prediction capability of each model and if that model improves the profitability of the Spanish index Ibex35.

More information

Item ID: 49506
DC Identifier: http://oa.upm.es/49506/
OAI Identifier: oai:oa.upm.es:49506
Deposited by: Carlos Garrido Camino
Deposited on: 21 Feb 2018 07:33
Last Modified: 21 Feb 2018 18:39
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