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. Tesis (Master), E.T.S.I. Industriales (UPM).

Descripción

Título: Creation of an investment strategy using Data Mining techniques in Spanish Stock Exchange
Autor/es:
  • Garrido Camino, Carlos
Director/es:
  • Mira McWilliams, José Manuel
  • González Fernández, Camino
Tipo de Documento: Tesis (Master)
Título del máster: Ingeniería de Organización
Fecha: Octubre 2015
Materias:
Palabras Clave Informales: Data mining, Investment, Random Forest, Bagging, CART, Stock Exchange, Stock Price
Escuela: E.T.S.I. Industriales (UPM)
Departamento: Ingeniería de Organización, Administración de Empresas y Estadística
Licencias Creative Commons: Ninguna

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Resumen

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.

Más información

ID de Registro: 49506
Identificador DC: http://oa.upm.es/49506/
Identificador OAI: oai:oa.upm.es:49506
Depositado por: Carlos Garrido Camino
Depositado el: 21 Feb 2018 07:33
Ultima Modificación: 21 Feb 2018 18:39
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