Establishing a Multiple-Criteria Decision-Making Model for Stock Investment Decisions Using Data Mining Techniques

Kuo-Chih Cheng, Mu-Jung Huang, Cheng-Kai Fu, Kuo-Hua Wang, Huo-Ming Wang and Lan-Hui Lin
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Kuo-Chih Cheng: Department of Accounting, National Changhua University of Education, Changhua 500, Taiwan
Mu-Jung Huang: Department of Accounting, National Changhua University of Education, Changhua 500, Taiwan
Cheng-Kai Fu: Department of Accounting, National Changhua University of Education, Changhua 500, Taiwan
Kuo-Hua Wang: Department of Finance, National Changhua University of Education, Changhua 500, Taiwan
Huo-Ming Wang: Department of Finance, National Changhua University of Education, Changhua 500, Taiwan
Lan-Hui Lin: Department of Accounting, National Changhua University of Education, Changhua 500, Taiwan

Sustainability, 2021, vol. 13, issue 6, 1-14

Abstract: This study attempts to integrate the decision tree algorithm with the Apriori algorithm to explore the relationship among financial ratio, corporate governance, and stock returns to establish a stock investment decision model. The sports and leisure related industries are employed as the research target. The data are collected and processed for generating decision tree and association rules. Based on the analysis outcome, an investment decision model is constructed for investors expecting to decrease their investment risks and further increase their profits. This stock investment decision model is one type of multiple-criteria decision-making model. This study makes three critical contributions to investors. (1) It proposes a systematical model of exploring related data through the decision tree algorithm and the Apriori algorithm to reveal the implicit investment knowledge. (2) An effective investment decision model is established and expected to provide a reference basis during stock-picking decisions. (3) The investment decision model is enhanced with implicit rules found among variables using association rules.

Keywords: data mining; apriori algorithm; multiple-criteria decision-making; association rules; decision tree (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2021
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