Data Mining on Romanian Stock Market Using Neural Networks for Price Prediction

Magdalena Daniela Nemes () and Alexandru Butoi ()

Informatica Economica, 2013, vol. 17, issue 3, 125-136

Abstract: Predicting future prices by using time series forecasting models has become a relevant trading strategy for most stock market players. Intuition and speculation are no longer reliable as many new trading strategies based on artificial intelligence emerge. Data mining represents a good source of information, as it ensures data processing in a convenient manner. Neural networks are considered useful prediction models when designing forecasting strategies. In this paper we present a series of neural networks designed for stock exchange rates forecasting applied on three Romanian stocks traded on the Bucharest Stock Exchange (BSE). A multistep ahead strategy was used in order to predict short-time price fluctuations. Later, the findings of our study can be integrated with an intelligent multi-agent system model which uses data mining and data stream processing techniques for helping users in the decision making process of buying or selling stocks.

Keywords: Data Mining; Neural Networks; MLP; Multi-agent System; Majority Voting; Time series Forecasting (search for similar items in EconPapers)
Date: 2013
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://revistaie.ase.ro/content/67/11%20-%20Nemes,%20Butoi.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aes:infoec:v:17:y:2013:i:3:p:125-136

Access Statistics for this article

Informatica Economica is currently edited by Ion Ivan

More articles in Informatica Economica from Academy of Economic Studies - Bucharest, Romania Contact information at EDIRC.
Bibliographic data for series maintained by Paul Pocatilu ().