Journal
INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
Volume 5, Issue 1, Pages 227-240Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219622006001824
Keywords
stock selection rules; stock prediction model; decision tree; data mining; C4.5 decision tree algorithm
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Stock selection rules are extensively utilized as the guideline to construct high performance stock portfolios. However, the predictive performance of the rules developed by some economic experts in the past has decreased dramatically for the current stock market. In this paper, C4.5 decision tree classification method was adopted to construct a model for stock prediction based on the fundamental stock data, from which a set of stock selection rules was derived. The experimental results showed that the generated rules have exceptional predictive performance. Moreover, it also demonstrated that the C4.5 decision tree classification model can work efficiently on the high noise stock data domain.
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