Background and Objectives: Stock price prediction has become one of the interesting and also challenging topics for researchers in the past few years. Due to the non-linear nature of the time-series data of the stock prices, mathematical modeling approaches usually fail to yield acceptable results. Therefore, machine learning methods can be a promising solution to this problem.
Methods: In this paper, a novel machine learning approach, which works in two phases, is introduced to predict the price of a stock in the next day based on the information extracted from the past 26 days. In the first phase of the method, an automatic clustering algorithm clusters the data points into different clusters, and in the second phase a hybrid regression model, which is a combination of particle swarm optimization and support vector regression, is trained for each cluster. In this hybrid method, particle swarm optimization algorithm is used for parameter tuning and feature selection. Results: The accuracy of the proposed method has been measured by 5 companies’ datasets, which are active in the Tehran Stock Exchange market, through 5 different metrics. On average, the proposed method has shown 82.6% accuracy in predicting stock price in 1-day ahead.
Conclusion: The achieved results demonstrate the capability of the method in detecting the sudden jumps in the price of a stock.
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Shahid Rajaee Teacher Training University