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Data Mining In Financial Markets

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Data Mining In Financial Markets

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dc.contributor.author Evans, Stephen en_US
dc.date.accessioned 2012-04-11T20:54:54Z
dc.date.available 2012-04-11T20:54:54Z
dc.date.issued 2012-04-11
dc.date.submitted January 2011 en_US
dc.identifier.other DISS-11481 en_US
dc.identifier.uri http://hdl.handle.net/10106/9535
dc.description.abstract Momentum in financial markets can cause securities prices to continue trending upward/downward based on the recent performance. This paper reviews a study that attempts to discover how much daily returns in the stock market can be explained by financial momentum. This study uses classification data mining to attempt to predict the direction of daily returns of randomly selected stocks from the Russell 1000 and Russell 2000 stock indexes. The study uses moving averages of historical daily stock prices as attributes, along with different data mining classifiers, to attempt to make these predictions. A secondary goal of this study is to determine how effective using Distributed Data Mining (DDM) can be in predicting the direction of daily stock returns. Hence, DDM classifiers are used in the testing. This study discovers that the moving averages of daily returns do not help predict the direction of future daily stock returns any better than the percentages of returns from one trading day to the next. It also shows that the classifiers were no more than 60% accurate in predicting the directions of daily returns for any of the stocks used in this study. Hence, it appears that momentum cannot be used to explain very much of the movement in daily stock prices on a consistent basis. en_US
dc.description.sponsorship Sikora, Riyaz en_US
dc.language.iso en en_US
dc.publisher Information Systems & Operations Management en_US
dc.title Data Mining In Financial Markets en_US
dc.type M.S. en_US
dc.contributor.committeeChair Sikora, Riyaz en_US
dc.degree.department Information Systems & Operations Management en_US
dc.degree.discipline Information Systems & Operations Management en_US
dc.degree.grantor University of Texas at Arlington en_US
dc.degree.level masters en_US
dc.degree.name M.S. en_US

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