به‌کارگیری وب‌کاوی در پیش‌بینی جهت قیمت سهام گروه محصولات شیمیایی در بورس اوراق بهادار
محورهای موضوعی : عمومى
امیر دایی
1
,
امیدمهدی عبادتی
2
,
کیوان برنا
3
1 - مدیریت فناوری اطلاعات، دانشکده مدیریت، دانشگاه خوارزمی، تهران
2 - گروه مدیریت عملیات و فناوری اطلاعات دانشگاه خوارزمی، تهران
3 - گروه علوم کامپیوتر دانشگاه خوارزمی، تهران
کلید واژه: متن‌کاوی, کاوش محتوای وب, خزشگر وب, پیش‌بینی بورس اوراق بهادار, ماشین بردار پشتیبان,
چکیده مقاله :
پیش‌بینی بازارها از جمله سهام به دلیل حجم بالای معاملات و نقدینگی برای محققان و سرمایه‌گذاران دارای جذابیت بوده است. توانایی پیش‌بینی جهت قیمت ما را قادر می‌سازد با کاهش ریسک و اجتناب از ضرر و زیان مالی، به بازده بالاتری دست‌یابیم. اخبار نقش مهمی در فرایند ارزیابی قیمت فعلی سهام دارد. توسعه روش‌های داده‌کاوی، هوش محاسباتی و الگوریتم‌های یادگیری ماشین سبب ایجاد مدل‌های جدیدی در پیش‌بینی شده‌اند. هدف از این پژوهش ذخیره سازی اخبار خبرگزارها و استفاده از روش‌های متن کاوی و الگوریتم ماشین بردار پشیبان به منظور پیش‌بینی جهت قیمت روز آینده سهم است. بدین منظور خبرها منتشر شده در 17 خبرگزاری با استفاده از یک خزگشر موضوعی به زبان پی‌اچ‌پی ذخیره و دسته‌بندی شده است. سپس با استفاده از روش‌های متن‌کاوی و الگوریتم ماشین بردار پشتیبان و کرنل‌های مختلف به پیش‌بینی جهت قیمت سهام گروه محصولات شیمیایی در بورس اوراق بهادار پرداخته می‌شود. دراین مطالعه از 300 هزار خبر در دسته‌های سیاسی و اقتصادی و قیمت‌های سهام 25 شرکت منتخب در بازه زمانی آبان تا اسفند 97 در 122 روز معاملاتی استفاده شده است. نتایج نشان می‌دهد با مدل ماشین بردار پشتیبان با کرنل خطی می‌توان به صورت میانگین 83 درصد جهت قیمت‌ها را پیش‌بینی کرد. با استفاده از کرنل‌های غیرخطی و معادله درجه 2 ماشین بردار پشتیبان صحت پیش‌بینی به صورت میانگین تا 85 درصد افزایش می‌یابد و سایر کرنل‌ها نتایج ضعیف‌تری از خود نشان می‌دهند.
Forecasting markets, including stocks, has been attractive to researchers and investors due to the high volume of transactions and liquidity. The ability to predict the price enables us to achieve higher returns by reducing risk and avoiding financial losses. News plays an important role in the process of assessing current stock prices. The development of data mining methods, computational intelligence and machine learning algorithms have led to the creation of new models in prediction. The purpose of this study is to store news agencies' news and use text mining methods and support vector machine algorithm to predict the next day's stock price. For this purpose, the news published in 17 news agencies has been stored and categorized using a thematic language in Phoenician. Then, using text mining methods, support vector machine algorithm and different kernels, the stock price forecast of the chemical products group in the stock exchange is predicted. In this study, 300,000 news items in political and economic categories and stock prices of 25 selected companies in the period from November to March 1997 in 122 trading days have been used. The results show that with the support vector machine model with linear kernel, prices can be predicted by an average of 83%. Using nonlinear kernels and the quadratic equation of the support vector machine, the prediction accuracy increases by an average of 85% and other kernels show poorer results. ارسال
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