Effects of Technical Market Indicators on Stock Market Index Direction Forecasting
Authors: Günter Şenyurt, Abdülhamit Subaşı
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In this study, we examine and compare the performances of data mining techniques based on the daily indexes of five different markets, namely DAX, FTSE 100, NASDAQ Composite, NIKKEI 225 and NYSE Composite. The A/D oscillator, chaikin oscillator, moving average convergence/divergence, stochastic oscillator, acceleration, momentum, chaikin volatility, fast stochastics, slow stochastics, williams %R, negative volume index, positive volume index, relative strength index, accumulation/distribution line, bollinger band, highest high, lowest low, median price, on balance volume, price rate of change, price-volume trend, typical price, volume rate of change, weighted close and williams accumulation/distribution make up the 28 technical indicator attributes used in this study. The data mining techniques utilized in this study comprise of random forest model, artificial neural network (ANN) and support vector machine (SVM). Initially, the input features are sorted with WEKA’s Info Ranker which reveals the best attributes based on relative weight. Afterwards, ten attributes having the highest relative weight values are fed into random forest, ANN and SVM. Then different attribute combinations based on their relative weights are tested in turns for more precision.