Losing Money in the Stock Market

1
Losing Money in the Stock Market

• A Machine Learning Approach

Rob Abernethy Chris Bowron
2
Problem Definition

• How to make a profit in the stock market using
  machine learning techniques

3
Problem Formulation

• Using specific stock features
• Predict the end of quarter stock price
• Predict percent increase
• Features
• P/E ratio, dividend yield, start of quarter
  prices, earnings, beta, book value, etc.

4
Problem Solution

• Distance weighted k-Nearest Neighbor regression
  algorithm

5
Experiments

• Use varying values of k
• Apply different kernel functions
• Different investment strategies
• Invest 10,000 into 10 stocks
• Weighted investment based on percent increase
• Equal investment on top 10 stocks
• Compare to index (Dow Jones)
• Compare to random strategy

6
Schedule

• Week 1 gather data and related work
• Week 2 convert and extract data build k-NN
  algorithm
• Week 3 build and debug k-NN algorithm
• Week 4 experiment with k value, kernel
  function, and investment strategy

7
Future Work

• Experiment with different quarterly data

8
Related Work

• Invest An Investment Assistant
• Predicting the Stock Market
• NNOracle
• Short Term Stock Selector
• A Genetic Algorithm for Stock Market Prediction