Comparing Decision Trees and Association Rules for Stock Market Expectations in BIST100 and BIST30

IF 0.9 Q3 ECONOMICS

Scientific Annals of Economics and Business Pub Date : 2022-09-21 DOI:10.47743/saeb-2022-0024

Görkem Ataman, Serpil Kahraman

引用次数: 0

Abstract

With the increased financial fragility, methods have been needed to predict financial data effectively. In this study, two leading data mining technologies, classification analysis and association rule mining, are implemented for modeling potentially successful and risky stocks on the BIST 30 index and BIST 100 Index based on the key variables of index name, index value, and stock price. Classification and Regression Tree (CART) is used for classification, and Apriori is applied for association analysis. The study data set covered monthly closing values during 2013-2019. The Apriori algorithm also obtained almost all of the classification rules generated with the CART algorithm. Validated by two promising data mining techniques, proposed rules guide decision-makers in their investment decisions. By providing early warning signals of risky stocks, these rules can be used to minimize risk levels and protect decision-makers from making risky decisions.

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BIST100和BIST30中股票市场预期决策树和关联规则的比较

随着金融脆弱性的增加，需要有效预测金融数据的方法。在本研究中，基于指数名称、指数价值和股价等关键变量，实现了两种领先的数据挖掘技术，即分类分析和关联规则挖掘，用于在BIST 30指数和BIST 100指数上对潜在成功和风险股票进行建模。分类和回归树（CART）用于分类，Apriori用于关联分析。研究数据集涵盖了2013-2019年的月度收盘值。Apriori算法还获得了CART算法生成的几乎所有分类规则。通过两种有前景的数据挖掘技术验证，所提出的规则指导决策者的投资决策。通过提供风险股票的预警信号，这些规则可以用来最大限度地降低风险水平，保护决策者不做出风险决策。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Scientific Annals of Economics and Business ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

10 weeks

期刊介绍： The Journal called Scientific Annals of Economics and Business (formerly Analele ştiinţifice ale Universităţii "Al.I. Cuza" din Iaşi. Ştiinţe economice / Scientific Annals of the Alexandru Ioan Cuza University of Iasi. Economic Sciences), was first published in 1954. It is published under the care of the Alexandru Ioan Cuza University, the oldest higher education institution in Romania, a place of excellence and innovation in education and research since 1860. Throughout its editorial life, the journal has been continuously improving. Renowned professors, well-known in the country and abroad, have published in this journal. The quality of the published materials is ensured both through their review by external reviewers of the institution and by the editorial staff that includes professors for each area of interest. The journal published papers in the following main sections: Accounting; Finance, Money and Banking; Management, Marketing and Communication; Microeconomics and Macroeconomics; Statistics and Econometrics; The Society of Knowledge and Business Information Systems.