Stock Market Analysis Using Machine Learning

Algorithm: A Case Study on Dhaka Stock Exchange

Supervised by
SM Shamim
Lecturer, Deparment of ICE

Presented by
Faiyaz Islam
ID 151343 , Session 2014-2015
Department of CSE
Agenda

 Background of the Study

 Statement of the study
 Literature Review
 Research Design and Methodology
 Proposed Implementation
 Data set
 Expected Outcome
 Future work
 References
Background of the study

 What is stock market?

 Also known as equity market or share market
 Aggregation of buyers and sellers  
 Stocks also called shares
 Represent ownership claims on businesses 
 Increase securities listed on a public stock exchange only traded privately.

 A country without a larger stock market is not good at all.

 To compete with other rich countries.
 Socio-economic stability
 Well-being of the people and for the country.
Statement of the problem

 The high degree of non-linearity, uncertainty and volatility present.

 Never follows a straight path
 Operate against a backdrop of continuous noise, news and rumor, social
factor, Economic factor, Political factor, geopolitical and miscellaneous
factors.
 Many general investors invest and participate without proper plan,
preparation Knowledge
 Investors are losing their capitals and leaving investing in stock market.
 Stock market is losing a huge amount of capitals.
Literature Review

 Employs numbers of ML algorithms to predict stock price and the

outcomes of the different ML algorithms are combined to improve the
prediction accuracy. [1]
 Compares four ML algorithms and use two approaches to input the
models and predicts data. [2]
 Uses logistic regression (LR) and various financial ratios to investigate
indicators that significantly affect the performance of stocks trade. [3]
 Build a model to predict stock price movement using the sentiment
from social media. [4]
 Combined online data sources were used in 3 ML models, decision trees,
neural networks and support vector machines. [5]
Literature Review

 Extracted the viewpoints from experts’ articles and those extracted

words were index words in the vector space of a machine learning
technique. [6]
 Used two adaptive neuro-fuzzy inference systems based on inverse
control theory that simulates the stock market dynamics; enabling 1 day
ahead forecasting. [7]
Research design and Methodology

 To introduce a combined machine learning approach with technical

indicators to predict the future price of particular stocks.

Figure 1: Machine learning

work flow

 These algorithms are provided by the popular machine learning software

suite WEKA.
Proposed Implementation

 Four widely used time series prediction algorithms are chosen to predict
stock price
 Support Vector Machine Based Regression (SVR),
 Regression by Multilayer Perceptron (MLP),
 Linear Regression (LNR)
 Gaussian Process based Regression (GPR).
Data Set

Figure 2: AB BANK dataset over 10 working days.

Expected Outcome

 Data will be tested in order to find the accuracy of work.

 Still there is a need to improve the parameters accuracy and
performance
 Investors gets an idea where to invest their valuable money.
 The developed approach can help stock investors select optimal stocks
from the DSE and predict their future price trends for their investment
decisions.
 Secured long term investment for investors.
Future Work

 Testing the data set

 Building new algorithms
 Increase accuracy
References

[1] Hasan, S. S., Rahman, R., Mannan, N., Khan, H., Moni, J. N., & Rahman, R. M. (2017,
September). Improved Stock Price Prediction by Integrating Data Mining Algorithms and
Technical Indicators: A Case Study on Dhaka Stock Exchange. In Conference on Computational
Collective Intelligence Technologies and Applications (pp. 288-297). Springer, Cham.
[2] Patel, J., Shah, S., Thakkar, P., & Kotecha, K. (2015). Predicting stock and stock price index
movement using trend deterministic data preparation and machine learning techniques. Expert
Systems with Applications, 42(1), 259-268.
[3] Dutta, A., Bandopadhyay, G., & Sengupta, S. (2012). Prediction of stock performance in indian
stock market using logistic regression. International Journal of Business and Information, 7(1).
[4] Nguyen, T. H., Shirai, K., & Velcin, J. (2015). Sentiment analysis on social media for stock
movement prediction. Expert Systems with Applications, 42(24), 9603-9611.
[5] Weng, B., Ahmed, M. A., & Megahed, F. M. (2017). Stock market one-day ahead movement
prediction using disparate data sources. Expert Systems with Applications, 79, 153-163.
References

[6] Ichinose, K., & Shimada, K. (2018, February). Stock Market Prediction Using Keywords from
Expert Articles. In International Conference on Soft Computing and Data Mining(pp. 409-417).
Springer, Cham.
[7] Atsalakis, G. S., Protopapadakis, E. E., & Valavanis, K. P. (2016). Stock trend forecasting in
turbulent market periods using neuro-fuzzy systems. Operational Research, 16(2), 245-269.