- Large portion of stock investors ended the year with zero or negative return in 2014.(http://fortune.com/2015/01/06/stock-market-2014-losers)
- Stock market is considered erratic and unpredictable.
- Data mining techniques can be used to evaluate past stock prices and acquire useful knowledge through the calculation of some financial indicators.
How to increase return on stock investment (ROI)
- Identify Industry Performance: Conduct industry performance analysis to provide insights and clarity on hedging decisions.
- Rank Company Performance based on Financial Indicators: Identify top 10 performing companies based on fundamental indicators (financial attributes & ratios).
- Predict Stock Prices: Build various forecasting methods to determine future price of the stock based on past trends.
Prices.csv Daily price information along with the opening price, closing price, low and high price of the different stocks listed 2010-2016, broken down by ticker symbol.
Prices-split-adjusted.csv Price information adjusted for price splits and information of the volume traded.
Securities.csv Industry information by sector.
Fundamentals.csv Financial performance and financial position information of different companies extracted from SEC 10K filings (2012-2016).
Approaches used in this project include: Linear Regression, Decision Tree, Clustering, Association Rule Mining, Moving Average, Exponential Smoothing, and Artificial neural network(ANN).
Identify Industry Performance: Decision Tree approach identifies top 5 performing industies - Consumer Discretionary, Industrials, Information Technology, Health Care, and Financials.
Rank Company Performance: Association Rule Mining generates 12 rules. Following each rule, Top 11 performing companies appear most frequently: KLA-Tencor Corp., Michael Kors Holdings, Cintas Corporation, Lam Research, Rockwell Automation Inc., Snap-On Inc., AutoZone Inc., AmerisourceBergen Corp, Home Depot, Symantec Corp., and TransDigm Group.
Predict Stock Prices: Moving Average with ANN achieves 64.5% accuracy.
According to the five-year return of the top 5 performing industries, the industries to Invest and manage portfolio are suggested as below:
Companies/Stocks to be considered:
- Need to create multiple models to get favorable results.
- Rapid Miner has limited operators for stock prediction and forecasting. For more accurate prediction, R and Python will have good libraries to work with.
Note: this is a group project for CIS9660 Data mining.