A Comparative Study of Machine Learning Algorithms for Financial Data Prediction

Bencharef Omar, Gonzalez Cortes Daniel, Bousbaa Zineb, Cortes Jofre Aida

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Machine learning has been widely used as a part of stock market investment strategies, whether for forecasting exchange rate or market volatility, and also in different classification problems in order to help for decision making. In this paper, we work on Brazilian and Chilean currency exchange data using two different algorithms. These experiments are based on 15 years historical data, the predictions are made for the next day price of the action. In addition, of historical data, our dataset includes ten technical indicators as inputs of each prediction model. Our contribution is a comparison of neural networks algorithms results with a multi linear regression algorithms optimized with particle swarm Metaheuristic.

Original languageEnglish
Title of host publicationInternational Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings
EditorsMounir Arioua, Boulmalef Mohammed, Mohamed Nabil Srifi
PublisherInstitute of Electrical and Electronics Engineers Inc.
ISBN (Electronic)9781538673287
DOIs
Publication statusPublished - 18 Jan 2019
Externally publishedYes
Event2018 International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Rabat, Morocco
Duration: 21 Nov 201823 Nov 2018

Publication series

NameInternational Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings

Conference

Conference2018 International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018
CountryMorocco
CityRabat
Period21/11/1823/11/18

Fingerprint

Learning algorithms
Learning systems
Electronic data interchange
Linear regression
Decision making
Neural networks
Experiments
Financial markets

Keywords

  • Exchange Rate
  • Financial Markets
  • Machine Learning
  • Neural Nets
  • Regression-PSO
  • Times Series Forecasting

ASJC Scopus subject areas

  • Software
  • Hardware and Architecture
  • Electrical and Electronic Engineering
  • Computer Networks and Communications

Cite this

Omar, B., Daniel, G. C., Zineb, B., & Aida, C. J. (2019). A Comparative Study of Machine Learning Algorithms for Financial Data Prediction. In M. Arioua, B. Mohammed, & M. N. Srifi (Eds.), International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings [8618774] (International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISAECT.2018.8618774
Omar, Bencharef ; Daniel, Gonzalez Cortes ; Zineb, Bousbaa ; Aida, Cortes Jofre. / A Comparative Study of Machine Learning Algorithms for Financial Data Prediction. International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings. editor / Mounir Arioua ; Boulmalef Mohammed ; Mohamed Nabil Srifi. Institute of Electrical and Electronics Engineers Inc., 2019. (International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings).
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Omar, B, Daniel, GC, Zineb, B & Aida, CJ 2019, A Comparative Study of Machine Learning Algorithms for Financial Data Prediction. in M Arioua, B Mohammed & MN Srifi (eds), International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings., 8618774, International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings, Institute of Electrical and Electronics Engineers Inc., 2018 International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018, Rabat, Morocco, 21/11/18. https://doi.org/10.1109/ISAECT.2018.8618774

A Comparative Study of Machine Learning Algorithms for Financial Data Prediction. / Omar, Bencharef; Daniel, Gonzalez Cortes; Zineb, Bousbaa; Aida, Cortes Jofre.

International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings. ed. / Mounir Arioua; Boulmalef Mohammed; Mohamed Nabil Srifi. Institute of Electrical and Electronics Engineers Inc., 2019. 8618774 (International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Omar B, Daniel GC, Zineb B, Aida CJ. A Comparative Study of Machine Learning Algorithms for Financial Data Prediction. In Arioua M, Mohammed B, Srifi MN, editors, International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings. Institute of Electrical and Electronics Engineers Inc. 2019. 8618774. (International Symposium on Advanced Electrical and Communication Technologies, ISAECT 2018 - Proceedings). https://doi.org/10.1109/ISAECT.2018.8618774