Dissemin is shutting down on January 1st, 2025

Published in

Universidade Federal do Estado do Rio de Janeiro, iSys - Revista Brasileira de Sistemas de Informação, 1(12), p. 05-27, 2019

DOI: 10.5753/isys.2019.381

Proceedings of the XIV Brazilian Symposium on Information Systems - SBSI'18, 2018

DOI: 10.1145/3229345.3229382

Links

Tools

Export citation

Search in Google Scholar

Stock Portfolio Prediction by Multi-Target Decision Support

This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

Full text: Download

Green circle
Preprint: archiving allowed
Green circle
Postprint: archiving allowed
Green circle
Published version: archiving allowed
Data provided by SHERPA/RoMEO

Abstract

Investing in the stock market is a complex process due to its high volatility caused by factors as exchange rates, political events, inflation and the market history. To support investor's decisions, the prediction of future stock price and economic metrics is valuable. With the hypothesis that there is a relation among investment performance indicators, the goal of this paper was exploring multi-target regression (MTR) methods to estimate 6 different indicators and finding out the method that would best suit in an automated prediction tool for decision support regarding predictive performance. The experiments were based on 4 datasets, corresponding to 4 different time periods, composed of 63 combinations of weights of stock-picking concepts each, simulated in the US stock market. We compared traditional machine learning approaches with seven state-of-the-art MTR solutions: Stacked Single Target, Ensemble of Regressor Chains, Deep Structure for Tracking Asynchronous Regressor Stacking, Deep Regressor Stacking, Multi-output Tree Chaining, Multi-target Augment Stacking and Multi-output Random Forest (MORF). With the exception of MORF, traditional approaches and the MTR methods were evaluated with Extreme Gradient Boosting, Random Forest and Support Vector Machine regressors. By means of extensive experimental evaluation, our results showed that the most recent MTR solutions can achieve suitable predictive performance, improving all the scenarios (14.70% in the best one, considering all target variables and periods). In this sense, MTR is a proper strategy for building stock market decision support system based on prediction models.